Correlation Between AMERISAFE and ICC Holdings
Can any of the company-specific risk be diversified away by investing in both AMERISAFE and ICC Holdings 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 AMERISAFE and ICC Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between AMERISAFE and ICC Holdings, you can compare the effects of market volatilities on AMERISAFE and ICC Holdings 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 AMERISAFE with a short position of ICC Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of AMERISAFE and ICC Holdings.
Diversification Opportunities for AMERISAFE and ICC Holdings
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between AMERISAFE and ICC is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding AMERISAFE and ICC Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICC Holdings and AMERISAFE 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 AMERISAFE are associated (or correlated) with ICC Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICC Holdings has no effect on the direction of AMERISAFE i.e., AMERISAFE and ICC Holdings go up and down completely randomly.
Pair Corralation between AMERISAFE and ICC Holdings
Given the investment horizon of 90 days AMERISAFE is expected to generate 5.47 times more return on investment than ICC Holdings. However, AMERISAFE is 5.47 times more volatile than ICC Holdings. It trades about 0.17 of its potential returns per unit of risk. ICC Holdings is currently generating about 0.19 per unit of risk. If you would invest 5,489 in AMERISAFE on August 27, 2024 and sell it today you would earn a total of 380.00 from holding AMERISAFE or generate 6.92% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 76.19% |
| Values | Daily Returns |
AMERISAFE vs. ICC Holdings
Performance |
| Timeline |
| AMERISAFE |
| ICC Holdings |
AMERISAFE and ICC Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with AMERISAFE and ICC Holdings
The main advantage of trading using opposite AMERISAFE and ICC Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if AMERISAFE position performs unexpectedly, ICC Holdings 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 ICC Holdings will offset losses from the drop in ICC Holdings' long position.| AMERISAFE vs. Assured Guaranty | AMERISAFE vs. MBIA Inc | AMERISAFE vs. Enact Holdings | AMERISAFE vs. ICC Holdings |
| ICC Holdings vs. Employers Holdings | ICC Holdings vs. AMERISAFE | ICC Holdings vs. NMI Holdings | ICC Holdings vs. Investors Title |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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