Correlation Between Sompo Holdings and W R
Can any of the company-specific risk be diversified away by investing in both Sompo Holdings and W R 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 Sompo Holdings and W R into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Sompo Holdings and W R Berkley, you can compare the effects of market volatilities on Sompo Holdings and W R 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 Sompo Holdings with a short position of W R. Check out your portfolio center. Please also check ongoing floating volatility patterns of Sompo Holdings and W R.
Diversification Opportunities for Sompo Holdings and W R
0.27 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Sompo and WRB is 0.27. Overlapping area represents the amount of risk that can be diversified away by holding Sompo Holdings and W R Berkley in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on W R Berkley and Sompo Holdings 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 Sompo Holdings are associated (or correlated) with W R. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of W R Berkley has no effect on the direction of Sompo Holdings i.e., Sompo Holdings and W R go up and down completely randomly.
Pair Corralation between Sompo Holdings and W R
Assuming the 90 days horizon Sompo Holdings is expected to generate 37.31 times more return on investment than W R. However, Sompo Holdings is 37.31 times more volatile than W R Berkley. It trades about 0.14 of its potential returns per unit of risk. W R Berkley is currently generating about 0.05 per unit of risk. If you would invest 4,300 in Sompo Holdings on September 4, 2024 and sell it today you would lose (1,797) from holding Sompo Holdings or give up 41.79% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 65.86% |
| Values | Daily Returns |
Sompo Holdings vs. W R Berkley
Performance |
| Timeline |
| Sompo Holdings |
| W R Berkley |
Sompo Holdings and W R Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Sompo Holdings and W R
The main advantage of trading using opposite Sompo Holdings and W R positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Sompo Holdings position performs unexpectedly, W R 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 W R will offset losses from the drop in W R's long position.| Sompo Holdings vs. Progressive Corp | Sompo Holdings vs. White Mountains Insurance | Sompo Holdings vs. Chubb | Sompo Holdings vs. W R Berkley |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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