Correlation Between James River and MBIA
Can any of the company-specific risk be diversified away by investing in both James River and MBIA 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 MBIA 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 MBIA Inc, you can compare the effects of market volatilities on James River and MBIA 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 MBIA. Check out your portfolio center. Please also check ongoing floating volatility patterns of James River and MBIA.
Diversification Opportunities for James River and MBIA
-0.74 | Correlation Coefficient |
Pay attention - limited upside
The 3 months correlation between James and MBIA is -0.74. Overlapping area represents the amount of risk that can be diversified away by holding James River Group and MBIA Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MBIA Inc 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 MBIA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MBIA Inc has no effect on the direction of James River i.e., James River and MBIA go up and down completely randomly.
Pair Corralation between James River and MBIA
Given the investment horizon of 90 days James River Group is expected to under-perform the MBIA. But the stock apears to be less risky and, when comparing its historical volatility, James River Group is 1.06 times less risky than MBIA. The stock trades about -0.08 of its potential returns per unit of risk. The MBIA Inc is currently generating about 0.05 of returns per unit of risk over similar time horizon. If you would invest 562.00 in MBIA Inc on August 24, 2024 and sell it today you would earn a total of 96.00 from holding MBIA Inc or generate 17.08% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
James River Group vs. MBIA Inc
Performance |
| Timeline |
| James River Group |
| MBIA Inc |
James River and MBIA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with James River and MBIA
The main advantage of trading using opposite James River and MBIA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if James River position performs unexpectedly, MBIA 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 MBIA will offset losses from the drop in MBIA's long position.| James River vs. Employers Holdings | James River vs. Investors Title | James River vs. AMERISAFE | James River vs. Essent 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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