Correlation Between Prospect Capital and SiriusPoint
Can any of the company-specific risk be diversified away by investing in both Prospect Capital and SiriusPoint 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 Prospect Capital and SiriusPoint into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Prospect Capital and SiriusPoint, you can compare the effects of market volatilities on Prospect Capital and SiriusPoint 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 Prospect Capital with a short position of SiriusPoint. Check out your portfolio center. Please also check ongoing floating volatility patterns of Prospect Capital and SiriusPoint.
Diversification Opportunities for Prospect Capital and SiriusPoint
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Prospect and SiriusPoint is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Prospect Capital and SiriusPoint in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SiriusPoint and Prospect Capital 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 Prospect Capital are associated (or correlated) with SiriusPoint. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SiriusPoint has no effect on the direction of Prospect Capital i.e., Prospect Capital and SiriusPoint go up and down completely randomly.
Pair Corralation between Prospect Capital and SiriusPoint
Assuming the 90 days trading horizon Prospect Capital is expected to under-perform the SiriusPoint. In addition to that, Prospect Capital is 7.41 times more volatile than SiriusPoint. It trades about -0.17 of its total potential returns per unit of risk. SiriusPoint is currently generating about 0.15 per unit of volatility. If you would invest 2,503 in SiriusPoint on August 23, 2024 and sell it today you would earn a total of 28.00 from holding SiriusPoint or generate 1.12% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Prospect Capital vs. SiriusPoint
Performance |
| Timeline |
| Prospect Capital |
| SiriusPoint |
Prospect Capital and SiriusPoint Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Prospect Capital and SiriusPoint
The main advantage of trading using opposite Prospect Capital and SiriusPoint positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Prospect Capital position performs unexpectedly, SiriusPoint 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 SiriusPoint will offset losses from the drop in SiriusPoint's long position.| Prospect Capital vs. PennyMac Mortgage Investment | Prospect Capital vs. SiriusPoint | Prospect Capital vs. Telephone and Data | Prospect Capital vs. ARMOUR Residential REIT |
| SiriusPoint vs. RLJ Lodging Trust | SiriusPoint vs. Argo Group International | SiriusPoint vs. New York Mortgage | SiriusPoint vs. Aquagold 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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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