Correlation Between Ambac Financial and MBIA
Can any of the company-specific risk be diversified away by investing in both Ambac Financial and MBIA 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 Ambac Financial and MBIA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Ambac Financial Group and MBIA Inc, you can compare the effects of market volatilities on Ambac Financial and MBIA 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 Ambac Financial with a short position of MBIA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Ambac Financial and MBIA.
Diversification Opportunities for Ambac Financial and MBIA
0.8 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Ambac and MBIA is 0.8. Overlapping area represents the amount of risk that can be diversified away by holding Ambac Financial Group and MBIA Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MBIA Inc and Ambac 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 Ambac Financial Group are associated (or correlated) with MBIA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MBIA Inc has no effect on the direction of Ambac Financial i.e., Ambac Financial and MBIA go up and down completely randomly.
Pair Corralation between Ambac Financial and MBIA
Given the investment horizon of 90 days Ambac Financial is expected to generate 6.5 times less return on investment than MBIA. But when comparing it to its historical volatility, Ambac Financial Group is 1.9 times less risky than MBIA. It trades about 0.16 of its potential returns per unit of risk. MBIA Inc is currently generating about 0.56 of returns per unit of risk over similar time horizon. If you would invest 378.00 in MBIA Inc on August 27, 2024 and sell it today you would earn a total of 325.00 from holding MBIA Inc or generate 85.98% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Ambac Financial Group vs. MBIA Inc
Performance |
| Timeline |
| Ambac Financial Group |
| MBIA Inc |
Ambac Financial and MBIA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Ambac Financial and MBIA
The main advantage of trading using opposite Ambac Financial and MBIA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Ambac Financial position performs unexpectedly, MBIA 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 MBIA will offset losses from the drop in MBIA's long position.| Ambac Financial vs. Employers Holdings | Ambac Financial vs. James River Group | Ambac Financial vs. Assured Guaranty | Ambac Financial vs. ICC Holdings |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Other Complementary Tools
| Global Markets Map Get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes | |
| Piotroski F Score Get Piotroski F Score based on the binary analysis strategy of nine different fundamentals | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Cryptocurrency Center Build and monitor diversified portfolio of extremely risky digital assets and cryptocurrency | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges |