Correlation Between Brunel International and ASR Nederland

Can any of the company-specific risk be diversified away by investing in both Brunel International and ASR Nederland at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Brunel International and ASR Nederland into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Brunel International NV and ASR Nederland NV, you can compare the effects of market volatilities on Brunel International and ASR Nederland and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Brunel International with a short position of ASR Nederland. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brunel International and ASR Nederland.

Diversification Opportunities for Brunel International and ASR Nederland

0.21

Correlation Coefficient

Brunel International  ASR Nederland

Modest diversification

The 3 months correlation between Brunel and ASR is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Brunel International NV and ASR Nederland NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ASR Nederland NV and Brunel International is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Brunel International NV are associated (or correlated) with ASR Nederland. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ASR Nederland NV has no effect on the direction of Brunel International i.e., Brunel International and ASR Nederland go up and down completely randomly.

Pair Corralation between Brunel International and ASR Nederland

Assuming the 90 days trading horizon Brunel International NV is expected to generate 1.08 times more return on investment than ASR Nederland. However, Brunel International is 1.08 times more volatile than ASR Nederland NV. It trades about 0.13 of its potential returns per unit of risk. ASR Nederland NV is currently generating about -0.05 per unit of risk. If you would invest  847.00  in Brunel International NV on September 23, 2024 and sell it today you would earn a total of  29.00  from holding Brunel International NV or generate 3.42% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	100.0%
Values	Daily Returns

Brunel International NV  vs.  ASR Nederland NV

Brunel International

Risk-Adjusted Performance

1 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Brunel International NV are ranked lower than 1 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, Brunel International is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

ASR Nederland NV

Risk-Adjusted Performance

3 of 100

Insignificant

Compared to the overall equity markets, risk-adjusted returns on investments in ASR Nederland NV are ranked lower than 3 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, ASR Nederland is not utilizing all of its potentials. The newest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Brunel International and ASR Nederland

The main advantage of trading using opposite Brunel International and ASR Nederland positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brunel International position performs unexpectedly, ASR Nederland can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ASR Nederland will offset losses from the drop in ASR Nederland's long position.

The idea behind Brunel International NV and ASR Nederland NV pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

Check out your portfolio center.

Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.