Correlation Between AmTrust Financial and Aspen Insurance
Can any of the company-specific risk be diversified away by investing in both AmTrust Financial and Aspen Insurance 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 Aspen Insurance 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 Aspen Insurance Holdings, you can compare the effects of market volatilities on AmTrust Financial and Aspen Insurance 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 Aspen Insurance. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmTrust Financial and Aspen Insurance.
Diversification Opportunities for AmTrust Financial and Aspen Insurance
0.2 | Correlation Coefficient |
Modest diversification
The 3 months correlation between AmTrust and Aspen is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding AmTrust Financial Services and Aspen Insurance Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Aspen Insurance Holdings 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 Aspen Insurance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Aspen Insurance Holdings has no effect on the direction of AmTrust Financial i.e., AmTrust Financial and Aspen Insurance go up and down completely randomly.
Pair Corralation between AmTrust Financial and Aspen Insurance
Assuming the 90 days horizon AmTrust Financial is expected to generate 1.82 times less return on investment than Aspen Insurance. But when comparing it to its historical volatility, AmTrust Financial Services is 1.13 times less risky than Aspen Insurance. It trades about 0.02 of its potential returns per unit of risk. Aspen Insurance Holdings is currently generating about 0.03 of returns per unit of risk over similar time horizon. If you would invest 2,114 in Aspen Insurance Holdings on August 27, 2024 and sell it today you would earn a total of 16.00 from holding Aspen Insurance Holdings or generate 0.76% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AmTrust Financial Services vs. Aspen Insurance Holdings
Performance |
| Timeline |
| AmTrust Financial |
| Aspen Insurance Holdings |
AmTrust Financial and Aspen Insurance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AmTrust Financial and Aspen Insurance
The main advantage of trading using opposite AmTrust Financial and Aspen Insurance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmTrust Financial position performs unexpectedly, Aspen Insurance 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 Aspen Insurance will offset losses from the drop in Aspen Insurance'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 |
| Aspen Insurance vs. Aspen Insurance Holdings | Aspen Insurance vs. Aspen Insurance Holdings | Aspen Insurance vs. AXIS Capital Holdings | Aspen Insurance vs. Athene 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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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