Correlation Between Global Indemnity and NI Holdings
Can any of the company-specific risk be diversified away by investing in both Global Indemnity and NI 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 Global Indemnity and NI Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Global Indemnity PLC and NI Holdings, you can compare the effects of market volatilities on Global Indemnity and NI 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 Global Indemnity with a short position of NI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Global Indemnity and NI Holdings.
Diversification Opportunities for Global Indemnity and NI Holdings
0.05 | Correlation Coefficient |
Significant diversification
The 3 months correlation between Global and NODK is 0.05. Overlapping area represents the amount of risk that can be diversified away by holding Global Indemnity PLC and NI Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NI Holdings and Global Indemnity 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 Global Indemnity PLC are associated (or correlated) with NI Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NI Holdings has no effect on the direction of Global Indemnity i.e., Global Indemnity and NI Holdings go up and down completely randomly.
Pair Corralation between Global Indemnity and NI Holdings
Given the investment horizon of 90 days Global Indemnity PLC is expected to under-perform the NI Holdings. In addition to that, Global Indemnity is 1.48 times more volatile than NI Holdings. It trades about -0.1 of its total potential returns per unit of risk. NI Holdings is currently generating about -0.04 per unit of volatility. If you would invest 1,556 in NI Holdings on November 2, 2024 and sell it today you would lose (20.00) from holding NI Holdings or give up 1.29% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Global Indemnity PLC vs. NI Holdings
Performance |
| Timeline |
| Global Indemnity PLC |
| NI Holdings |
Global Indemnity and NI Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Global Indemnity and NI Holdings
The main advantage of trading using opposite Global Indemnity and NI Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Global Indemnity position performs unexpectedly, NI 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 NI Holdings will offset losses from the drop in NI Holdings' long position.| Global Indemnity vs. Selective Insurance Group | Global Indemnity vs. Kemper | Global Indemnity vs. Donegal Group B | Global Indemnity vs. Argo Group International |
| NI Holdings vs. Horace Mann Educators | NI Holdings vs. Donegal Group A | NI Holdings vs. Global Indemnity PLC | NI Holdings vs. Selective Insurance 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 Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
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