Correlation Between GREENLIGHT CAP and RenaissanceRe Holdings
Can any of the company-specific risk be diversified away by investing in both GREENLIGHT CAP and RenaissanceRe 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 GREENLIGHT CAP and RenaissanceRe Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between GREENLIGHT CAP RE and RenaissanceRe Holdings, you can compare the effects of market volatilities on GREENLIGHT CAP and RenaissanceRe 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 GREENLIGHT CAP with a short position of RenaissanceRe Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of GREENLIGHT CAP and RenaissanceRe Holdings.
Diversification Opportunities for GREENLIGHT CAP and RenaissanceRe Holdings
0.62 | Correlation Coefficient |
Poor diversification
The 3 months correlation between GREENLIGHT and RenaissanceRe is 0.62. Overlapping area represents the amount of risk that can be diversified away by holding GREENLIGHT CAP RE and RenaissanceRe Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on RenaissanceRe Holdings and GREENLIGHT CAP 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 GREENLIGHT CAP RE are associated (or correlated) with RenaissanceRe Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of RenaissanceRe Holdings has no effect on the direction of GREENLIGHT CAP i.e., GREENLIGHT CAP and RenaissanceRe Holdings go up and down completely randomly.
Pair Corralation between GREENLIGHT CAP and RenaissanceRe Holdings
Assuming the 90 days trading horizon GREENLIGHT CAP RE is expected to generate 1.06 times more return on investment than RenaissanceRe Holdings. However, GREENLIGHT CAP is 1.06 times more volatile than RenaissanceRe Holdings. It trades about 0.09 of its potential returns per unit of risk. RenaissanceRe Holdings is currently generating about -0.07 per unit of risk. If you would invest 1,240 in GREENLIGHT CAP RE on September 23, 2024 and sell it today you would earn a total of 90.00 from holding GREENLIGHT CAP RE or generate 7.26% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
GREENLIGHT CAP RE vs. RenaissanceRe Holdings
Performance |
| Timeline |
| GREENLIGHT CAP RE |
| RenaissanceRe Holdings |
GREENLIGHT CAP and RenaissanceRe Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with GREENLIGHT CAP and RenaissanceRe Holdings
The main advantage of trading using opposite GREENLIGHT CAP and RenaissanceRe Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if GREENLIGHT CAP position performs unexpectedly, RenaissanceRe 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 RenaissanceRe Holdings will offset losses from the drop in RenaissanceRe Holdings' long position.| GREENLIGHT CAP vs. SLR Investment Corp | GREENLIGHT CAP vs. X FAB Silicon Foundries | GREENLIGHT CAP vs. Strategic Investments AS | GREENLIGHT CAP vs. Shin Etsu Chemical Co |
| RenaissanceRe Holdings vs. MUENCHRUECKUNSADR 110 | RenaissanceRe Holdings vs. Swiss Re AG | RenaissanceRe Holdings vs. HANNRUECKVSE ADR 12ON | RenaissanceRe Holdings vs. Everest Group |
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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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