Correlation Between James River and ICC Holdings
Can any of the company-specific risk be diversified away by investing in both James River 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 James River and ICC 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 ICC Holdings, you can compare the effects of market volatilities on James River 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 James River with a short position of ICC Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of James River and ICC Holdings.
Diversification Opportunities for James River and ICC Holdings
-0.41 | Correlation Coefficient |
Very good diversification
The 3 months correlation between James and ICC is -0.41. Overlapping area represents the amount of risk that can be diversified away by holding James River Group and ICC Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICC 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 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 James River i.e., James River and ICC Holdings go up and down completely randomly.
Pair Corralation between James River and ICC Holdings
Given the investment horizon of 90 days James River Group is expected to under-perform the ICC Holdings. In addition to that, James River is 17.45 times more volatile than ICC Holdings. It trades about -0.24 of its total potential returns per unit of risk. ICC Holdings is currently generating about 0.19 per unit of volatility. If you would invest 2,299 in ICC Holdings on August 27, 2024 and sell it today you would earn a total of 25.00 from holding ICC Holdings or generate 1.09% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 76.19% |
| Values | Daily Returns |
James River Group vs. ICC Holdings
Performance |
| Timeline |
| James River Group |
| ICC Holdings |
James River and ICC Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with James River and ICC Holdings
The main advantage of trading using opposite James River and ICC Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if James River 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.| James River vs. Employers Holdings | James River vs. Investors Title | James River vs. AMERISAFE | James River vs. Essent Group |
| 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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
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