Correlation Between Allstate and Arch Capital
Can any of the company-specific risk be diversified away by investing in both Allstate and Arch Capital 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 Allstate and Arch Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Allstate and Arch Capital Group, you can compare the effects of market volatilities on Allstate and Arch Capital 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 Allstate with a short position of Arch Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of Allstate and Arch Capital.
Diversification Opportunities for Allstate and Arch Capital
0.83 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Allstate and Arch is 0.83. Overlapping area represents the amount of risk that can be diversified away by holding The Allstate and Arch Capital Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Arch Capital Group and Allstate 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 The Allstate are associated (or correlated) with Arch Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Arch Capital Group has no effect on the direction of Allstate i.e., Allstate and Arch Capital go up and down completely randomly.
Pair Corralation between Allstate and Arch Capital
Assuming the 90 days trading horizon The Allstate is expected to under-perform the Arch Capital. In addition to that, Allstate is 1.07 times more volatile than Arch Capital Group. It trades about -0.07 of its total potential returns per unit of risk. Arch Capital Group is currently generating about 0.05 per unit of volatility. If you would invest 1,840 in Arch Capital Group on November 5, 2024 and sell it today you would earn a total of 23.00 from holding Arch Capital Group or generate 1.25% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Allstate vs. Arch Capital Group
Performance |
| Timeline |
| Allstate |
| Arch Capital Group |
Allstate and Arch Capital Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Allstate and Arch Capital
The main advantage of trading using opposite Allstate and Arch Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Allstate position performs unexpectedly, Arch Capital 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 Arch Capital will offset losses from the drop in Arch Capital's long position.| Allstate vs. The Allstate | Allstate vs. MetLife Preferred Stock | Allstate vs. Bank of America | Allstate vs. Capital One Financial |
| Arch Capital vs. Arch Capital Group | Arch Capital vs. The Allstate | Arch Capital vs. Brighthouse Financial | Arch Capital 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 Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
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