Correlation Between Arch Capital and Swiss Life
Can any of the company-specific risk be diversified away by investing in both Arch Capital and Swiss Life 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 Arch Capital and Swiss Life into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Arch Capital Group and Swiss Life Holding, you can compare the effects of market volatilities on Arch Capital and Swiss Life 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 Arch Capital with a short position of Swiss Life. Check out your portfolio center. Please also check ongoing floating volatility patterns of Arch Capital and Swiss Life.
Diversification Opportunities for Arch Capital and Swiss Life
0.67 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Arch and Swiss is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Arch Capital Group and Swiss Life Holding in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Swiss Life Holding and Arch Capital 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 Arch Capital Group are associated (or correlated) with Swiss Life. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Swiss Life Holding has no effect on the direction of Arch Capital i.e., Arch Capital and Swiss Life go up and down completely randomly.
Pair Corralation between Arch Capital and Swiss Life
Assuming the 90 days horizon Arch Capital Group is expected to generate 0.69 times more return on investment than Swiss Life. However, Arch Capital Group is 1.44 times less risky than Swiss Life. It trades about -0.23 of its potential returns per unit of risk. Swiss Life Holding is currently generating about -0.18 per unit of risk. If you would invest 2,352 in Arch Capital Group on August 31, 2024 and sell it today you would lose (87.00) from holding Arch Capital Group or give up 3.7% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Arch Capital Group vs. Swiss Life Holding
Performance |
| Timeline |
| Arch Capital Group |
| Swiss Life Holding |
Arch Capital and Swiss Life Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Arch Capital and Swiss Life
The main advantage of trading using opposite Arch Capital and Swiss Life positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Arch Capital position performs unexpectedly, Swiss Life 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 Swiss Life will offset losses from the drop in Swiss Life's long position.| Arch Capital vs. Athene Holding | Arch Capital vs. The Hartford Financial | Arch Capital vs. Arch Capital Group | Arch Capital vs. Athene Holding |
| Swiss Life vs. Baloise Holding Ltd | Swiss Life vs. Zurich Insurance Group | Swiss Life vs. Allianz SE | Swiss Life vs. Swiss Life Holding |
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 Premium Stories module to follow Macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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