Correlation Between Brunel International and Van Lanschot

Can any of the company-specific risk be diversified away by investing in both Brunel International and Van Lanschot 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 Van Lanschot 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 Van Lanschot NV, you can compare the effects of market volatilities on Brunel International and Van Lanschot 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 Van Lanschot. Check out your portfolio center. Please also check ongoing floating volatility patterns of Brunel International and Van Lanschot.

Diversification Opportunities for Brunel International and Van Lanschot

0.06

Correlation Coefficient

Brunel International  Van Lanschot

Significant diversification

The 3 months correlation between Brunel and Van is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Brunel International NV and Van Lanschot NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Van Lanschot 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 Van Lanschot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Van Lanschot NV has no effect on the direction of Brunel International i.e., Brunel International and Van Lanschot go up and down completely randomly.

Pair Corralation between Brunel International and Van Lanschot

Assuming the 90 days trading horizon Brunel International NV is expected to under-perform the Van Lanschot. But the stock apears to be less risky and, when comparing its historical volatility, Brunel International NV is 1.0 times less risky than Van Lanschot. The stock trades about 0.0 of its potential returns per unit of risk. The Van Lanschot NV is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest  4,050  in Van Lanschot NV on September 4, 2024 and sell it today you would earn a total of  220.00  from holding Van Lanschot NV or generate 5.43% return on investment over 90 days.

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

Brunel International NV  vs.  Van Lanschot NV

Brunel International

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days Brunel International NV has generated negative risk-adjusted returns adding no value to investors with long positions. 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.

Van Lanschot NV

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Van Lanschot NV are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable forward-looking signals, Van Lanschot is not utilizing all of its potentials. The current stock price uproar, may contribute to short-horizon losses for the private investors.

Pair Trading with Brunel International and Van Lanschot

The main advantage of trading using opposite Brunel International and Van Lanschot positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Brunel International position performs unexpectedly, Van Lanschot 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 Van Lanschot will offset losses from the drop in Van Lanschot's long position.

The idea behind Brunel International NV and Van Lanschot 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.

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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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.