Correlation Between Markel and Allstate
Can any of the company-specific risk be diversified away by investing in both Markel and Allstate 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 Markel and Allstate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Markel and The Allstate, you can compare the effects of market volatilities on Markel and Allstate 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 Markel with a short position of Allstate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Markel and Allstate.
Diversification Opportunities for Markel and Allstate
Excellent diversification
The 3 months correlation between Markel and Allstate is -0.58. Overlapping area represents the amount of risk that can be diversified away by holding Markel and The Allstate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Allstate and Markel 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 Markel are associated (or correlated) with Allstate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Allstate has no effect on the direction of Markel i.e., Markel and Allstate go up and down completely randomly.
Pair Corralation between Markel and Allstate
Considering the 90-day investment horizon Markel is expected to generate 1.57 times more return on investment than Allstate. However, Markel is 1.57 times more volatile than The Allstate. It trades about 0.37 of its potential returns per unit of risk. The Allstate is currently generating about -0.23 per unit of risk. If you would invest 156,400 in Markel on August 27, 2024 and sell it today you would earn a total of 19,762 from holding Markel or generate 12.64% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Markel vs. The Allstate
Performance |
| Timeline |
| Markel |
| Allstate |
Markel and Allstate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Markel and Allstate
The main advantage of trading using opposite Markel and Allstate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Markel position performs unexpectedly, Allstate 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 Allstate will offset losses from the drop in Allstate's long position.The idea behind Markel and The Allstate pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| Allstate vs. Aspen Insurance Holdings | Allstate vs. Aspen Insurance Holdings | Allstate vs. AmTrust Financial Services | Allstate vs. Argo Group International |
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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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