Correlation Between AmTrust Financial and SEI Investments
Can any of the company-specific risk be diversified away by investing in both AmTrust Financial and SEI Investments 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 SEI Investments 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 SEI Investments, you can compare the effects of market volatilities on AmTrust Financial and SEI Investments 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 SEI Investments. Check out your portfolio center. Please also check ongoing floating volatility patterns of AmTrust Financial and SEI Investments.
Diversification Opportunities for AmTrust Financial and SEI Investments
0.78 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AmTrust and SEI is 0.78. Overlapping area represents the amount of risk that can be diversified away by holding AmTrust Financial Services and SEI Investments in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SEI Investments 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 SEI Investments. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SEI Investments has no effect on the direction of AmTrust Financial i.e., AmTrust Financial and SEI Investments go up and down completely randomly.
Pair Corralation between AmTrust Financial and SEI Investments
Assuming the 90 days horizon AmTrust Financial is expected to generate 1.44 times less return on investment than SEI Investments. In addition to that, AmTrust Financial is 1.26 times more volatile than SEI Investments. It trades about 0.08 of its total potential returns per unit of risk. SEI Investments is currently generating about 0.14 per unit of volatility. If you would invest 6,650 in SEI Investments on September 2, 2024 and sell it today you would earn a total of 1,613 from holding SEI Investments or generate 24.26% 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. SEI Investments
Performance |
| Timeline |
| AmTrust Financial |
| SEI Investments |
AmTrust Financial and SEI Investments Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AmTrust Financial and SEI Investments
The main advantage of trading using opposite AmTrust Financial and SEI Investments positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AmTrust Financial position performs unexpectedly, SEI Investments 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 SEI Investments will offset losses from the drop in SEI Investments' long position.| AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. AmTrust Financial Services | AmTrust Financial vs. AmTrust Financial Services |
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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 Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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