Correlation Between National Retail and Allstate
Can any of the company-specific risk be diversified away by investing in both National Retail and Allstate 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 National Retail and Allstate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between National Retail Properties and The Allstate, you can compare the effects of market volatilities on National Retail and Allstate 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 National Retail with a short position of Allstate. Check out your portfolio center. Please also check ongoing floating volatility patterns of National Retail and Allstate.
Diversification Opportunities for National Retail and Allstate
-0.26 | Correlation Coefficient |
Very good diversification
The 3 months correlation between National and Allstate is -0.26. Overlapping area represents the amount of risk that can be diversified away by holding National Retail Properties and The Allstate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allstate and National Retail 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 National Retail Properties are associated (or correlated) with Allstate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allstate has no effect on the direction of National Retail i.e., National Retail and Allstate go up and down completely randomly.
Pair Corralation between National Retail and Allstate
Assuming the 90 days trading horizon National Retail is expected to generate 2.27 times less return on investment than Allstate. But when comparing it to its historical volatility, National Retail Properties is 1.21 times less risky than Allstate. It trades about 0.06 of its potential returns per unit of risk. The Allstate is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest 15,288 in The Allstate on September 3, 2024 and sell it today you would earn a total of 4,302 from holding The Allstate or generate 28.14% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
National Retail Properties vs. The Allstate
Performance |
| Timeline |
| National Retail Prop |
| Allstate |
National Retail and Allstate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with National Retail and Allstate
The main advantage of trading using opposite National Retail and Allstate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if National Retail position performs unexpectedly, Allstate 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 Allstate will offset losses from the drop in Allstate's long position.| National Retail vs. QBE Insurance Group | National Retail vs. United Natural Foods | National Retail vs. TYSON FOODS A | National Retail vs. Luckin Coffee |
| Allstate vs. COSTCO WHOLESALE CDR | Allstate vs. RETAIL FOOD GROUP | Allstate vs. National Health Investors | Allstate vs. National Retail Properties |
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 Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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