Correlation Between AmTrust Financial and Allstate
Can any of the company-specific risk be diversified away by investing in both AmTrust Financial and Allstate 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 AmTrust Financial and Allstate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AmTrust Financial Services and The Allstate, you can compare the effects of market volatilities on AmTrust Financial and Allstate 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 AmTrust Financial with a short position of Allstate. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmTrust Financial and Allstate.
Diversification Opportunities for AmTrust Financial and Allstate
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AmTrust and Allstate is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding AmTrust Financial Services and The Allstate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allstate and AmTrust Financial 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 AmTrust Financial Services are associated (or correlated) with Allstate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allstate has no effect on the direction of AmTrust Financial i.e., AmTrust Financial and Allstate go up and down completely randomly.
Pair Corralation between AmTrust Financial and Allstate
Assuming the 90 days horizon AmTrust Financial Services is expected to generate 2.94 times more return on investment than Allstate. However, AmTrust Financial is 2.94 times more volatile than The Allstate. It trades about 0.1 of its potential returns per unit of risk. The Allstate is currently generating about 0.12 per unit of risk. If you would invest 1,284 in AmTrust Financial Services on August 28, 2024 and sell it today you would earn a total of 91.00 from holding AmTrust Financial Services or generate 7.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
AmTrust Financial Services vs. The Allstate
Performance |
| Timeline |
| AmTrust Financial |
| Allstate |
AmTrust Financial and Allstate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AmTrust Financial and Allstate
The main advantage of trading using opposite AmTrust Financial and Allstate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmTrust Financial position performs unexpectedly, Allstate 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 Allstate will offset losses from the drop in Allstate's long position.| AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. Aspen Insurance Holdings |
| Allstate vs. Aspen Insurance Holdings | Allstate vs. Selective Insurance Group | Allstate vs. Aspen Insurance Holdings | Allstate vs. AmTrust Financial Services |
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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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