Correlation Between AmTrust Financial and NYSE Composite
Can any of the company-specific risk be diversified away by investing in both AmTrust Financial and NYSE Composite 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 NYSE Composite 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 NYSE Composite, you can compare the effects of market volatilities on AmTrust Financial and NYSE Composite 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 NYSE Composite. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmTrust Financial and NYSE Composite.
Diversification Opportunities for AmTrust Financial and NYSE Composite
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AmTrust and NYSE is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding AmTrust Financial Services and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite 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 NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of AmTrust Financial i.e., AmTrust Financial and NYSE Composite go up and down completely randomly.
Pair Corralation between AmTrust Financial and NYSE Composite
Assuming the 90 days horizon AmTrust Financial Services is expected to generate 2.29 times more return on investment than NYSE Composite. However, AmTrust Financial is 2.29 times more volatile than NYSE Composite. It trades about 0.09 of its potential returns per unit of risk. NYSE Composite is currently generating about 0.12 per unit of risk. If you would invest 1,158 in AmTrust Financial Services on August 29, 2024 and sell it today you would earn a total of 342.00 from holding AmTrust Financial Services or generate 29.53% 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. NYSE Composite
Performance |
| Timeline |
AmTrust Financial and NYSE Composite Volatility Contrast
Predicted Return Density |
| Returns |
AmTrust Financial Services
Pair trading matchups for AmTrust Financial
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with AmTrust Financial and NYSE Composite
The main advantage of trading using opposite AmTrust Financial and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmTrust Financial position performs unexpectedly, NYSE Composite 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 NYSE Composite will offset losses from the drop in NYSE Composite's long position.| AmTrust Financial vs. Progressive Corp | AmTrust Financial vs. White Mountains Insurance | AmTrust Financial vs. Chubb | AmTrust Financial vs. W R Berkley |
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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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
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