Correlation Between Van Lanschot and Brunel International

Can any of the company-specific risk be diversified away by investing in both Van Lanschot and Brunel International 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 Van Lanschot and Brunel International into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Van Lanschot NV and Brunel International NV, you can compare the effects of market volatilities on Van Lanschot and Brunel International 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 Van Lanschot with a short position of Brunel International. Check out your portfolio center. Please also check ongoing floating volatility patterns of Van Lanschot and Brunel International.

Diversification Opportunities for Van Lanschot and Brunel International

0.4

Correlation Coefficient

Van Lanschot  Brunel International

Very weak diversification

The 3 months correlation between Van and Brunel is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding Van Lanschot NV and Brunel International NV in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brunel International and Van Lanschot 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 Van Lanschot NV are associated (or correlated) with Brunel International. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brunel International has no effect on the direction of Van Lanschot i.e., Van Lanschot and Brunel International go up and down completely randomly.

Pair Corralation between Van Lanschot and Brunel International

Assuming the 90 days trading horizon Van Lanschot is expected to generate 1.31 times less return on investment than Brunel International. In addition to that, Van Lanschot is 1.12 times more volatile than Brunel International NV. It trades about 0.06 of its total potential returns per unit of risk. Brunel International NV is currently generating about 0.09 per unit of volatility. If you would invest  876.00  in Brunel International NV on September 12, 2024 and sell it today you would earn a total of  21.00  from holding Brunel International NV or generate 2.4% return on investment over 90 days.

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

Van Lanschot NV  vs.  Brunel International NV

Van Lanschot NV

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Van Lanschot NV are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak forward-looking signals, Van Lanschot may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Brunel International

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Brunel International NV are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively weak basic indicators, Brunel International may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Van Lanschot and Brunel International

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

The idea behind Van Lanschot NV and Brunel International 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 Equity Valuation module to check real value of public entities based on technical and fundamental data.