Correlation Between AmTrust Financial and Kemper
Can any of the company-specific risk be diversified away by investing in both AmTrust Financial and Kemper 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 Kemper 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 Kemper, you can compare the effects of market volatilities on AmTrust Financial and Kemper 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 Kemper. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmTrust Financial and Kemper.
Diversification Opportunities for AmTrust Financial and Kemper
0.44 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between AmTrust and Kemper is 0.44. Overlapping area represents the amount of risk that can be diversified away by holding AmTrust Financial Services and Kemper in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Kemper 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 Kemper. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Kemper has no effect on the direction of AmTrust Financial i.e., AmTrust Financial and Kemper go up and down completely randomly.
Pair Corralation between AmTrust Financial and Kemper
Assuming the 90 days horizon AmTrust Financial is expected to generate 1.08 times less return on investment than Kemper. But when comparing it to its historical volatility, AmTrust Financial Services is 1.47 times less risky than Kemper. It trades about 0.15 of its potential returns per unit of risk. Kemper is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 6,526 in Kemper on November 18, 2024 and sell it today you would earn a total of 225.00 from holding Kemper or generate 3.45% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
AmTrust Financial Services vs. Kemper
Performance |
| Timeline |
| AmTrust Financial |
| Kemper |
AmTrust Financial and Kemper Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AmTrust Financial and Kemper
The main advantage of trading using opposite AmTrust Financial and Kemper positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmTrust Financial position performs unexpectedly, Kemper 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 Kemper will offset losses from the drop in Kemper'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 |
| Kemper vs. Selective Insurance Group | Kemper vs. Donegal Group B | Kemper vs. Argo Group International | Kemper vs. Global Indemnity PLC |
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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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