Correlation Between James River and Employers Holdings
Can any of the company-specific risk be diversified away by investing in both James River and Employers 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 James River and Employers Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between James River Group and Employers Holdings, you can compare the effects of market volatilities on James River and Employers 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 James River with a short position of Employers Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of James River and Employers Holdings.
Diversification Opportunities for James River and Employers Holdings
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between James and Employers is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding James River Group and Employers Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Employers Holdings and James River 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 James River Group are associated (or correlated) with Employers Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Employers Holdings has no effect on the direction of James River i.e., James River and Employers Holdings go up and down completely randomly.
Pair Corralation between James River and Employers Holdings
Given the investment horizon of 90 days James River Group is expected to under-perform the Employers Holdings. In addition to that, James River is 2.51 times more volatile than Employers Holdings. It trades about -0.08 of its total potential returns per unit of risk. Employers Holdings is currently generating about 0.15 per unit of volatility. If you would invest 4,039 in Employers Holdings on August 24, 2024 and sell it today you would earn a total of 1,240 from holding Employers Holdings or generate 30.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 99.21% |
| Values | Daily Returns |
James River Group vs. Employers Holdings
Performance |
| Timeline |
| James River Group |
| Employers Holdings |
James River and Employers Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with James River and Employers Holdings
The main advantage of trading using opposite James River and Employers Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if James River position performs unexpectedly, Employers 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 Employers Holdings will offset losses from the drop in Employers Holdings' long position.| James River vs. Employers Holdings | James River vs. Investors Title | James River vs. AMERISAFE | James River vs. Essent Group |
| Employers Holdings vs. ICC Holdings | Employers Holdings vs. AMERISAFE | Employers Holdings vs. NMI Holdings | Employers 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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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