Correlation Between Allstate and Markel
Can any of the company-specific risk be diversified away by investing in both Allstate and Markel 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 Markel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between The Allstate and Markel, you can compare the effects of market volatilities on Allstate and Markel 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 Markel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Allstate and Markel.
Diversification Opportunities for Allstate and Markel
Excellent diversification
The 3 months correlation between Allstate and Markel is -0.66. Overlapping area represents the amount of risk that can be diversified away by holding The Allstate and Markel in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Markel 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 Markel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Markel has no effect on the direction of Allstate i.e., Allstate and Markel go up and down completely randomly.
Pair Corralation between Allstate and Markel
Assuming the 90 days trading horizon The Allstate is expected to under-perform the Markel. But the preferred stock apears to be less risky and, when comparing its historical volatility, The Allstate is 1.6 times less risky than Markel. The preferred stock trades about -0.26 of its potential returns per unit of risk. The Markel is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 156,400 in Markel on August 27, 2024 and sell it today you would earn a total of 19,762 from holding Markel or generate 12.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
The Allstate vs. Markel
Performance |
| Timeline |
| Allstate |
| Markel |
Allstate and Markel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Allstate and Markel
The main advantage of trading using opposite Allstate and Markel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Allstate position performs unexpectedly, Markel 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 Markel will offset losses from the drop in Markel's long position.| Allstate vs. Aspen Insurance Holdings | Allstate vs. Aspen Insurance Holdings | Allstate vs. AmTrust Financial Services | Allstate vs. Argo Group International |
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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