Correlation Between Swiss Re and Brookfield Reinsurance
Can any of the company-specific risk be diversified away by investing in both Swiss Re and Brookfield Reinsurance 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 Swiss Re and Brookfield Reinsurance into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Swiss Re AG and Brookfield Reinsurance, you can compare the effects of market volatilities on Swiss Re and Brookfield Reinsurance 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 Swiss Re with a short position of Brookfield Reinsurance. Check out your portfolio center. Please also check ongoing floating volatility patterns of Swiss Re and Brookfield Reinsurance.
Diversification Opportunities for Swiss Re and Brookfield Reinsurance
-0.13 | Correlation Coefficient |
Good diversification
The 3 months correlation between Swiss and Brookfield is -0.13. Overlapping area represents the amount of risk that can be diversified away by holding Swiss Re AG and Brookfield Reinsurance in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Brookfield Reinsurance and Swiss Re 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 Swiss Re AG are associated (or correlated) with Brookfield Reinsurance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Brookfield Reinsurance has no effect on the direction of Swiss Re i.e., Swiss Re and Brookfield Reinsurance go up and down completely randomly.
Pair Corralation between Swiss Re and Brookfield Reinsurance
Assuming the 90 days horizon Swiss Re AG is expected to generate 2.46 times more return on investment than Brookfield Reinsurance. However, Swiss Re is 2.46 times more volatile than Brookfield Reinsurance. It trades about 0.06 of its potential returns per unit of risk. Brookfield Reinsurance is currently generating about 0.04 per unit of risk. If you would invest 7,886 in Swiss Re AG on August 24, 2024 and sell it today you would earn a total of 6,364 from holding Swiss Re AG or generate 80.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 89.12% |
| Values | Daily Returns |
Swiss Re AG vs. Brookfield Reinsurance
Performance |
| Timeline |
| Swiss Re AG |
| Brookfield Reinsurance |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Swiss Re and Brookfield Reinsurance Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Swiss Re and Brookfield Reinsurance
The main advantage of trading using opposite Swiss Re and Brookfield Reinsurance positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swiss Re position performs unexpectedly, Brookfield Reinsurance 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 Brookfield Reinsurance will offset losses from the drop in Brookfield Reinsurance's long position.The idea behind Swiss Re AG and Brookfield Reinsurance 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.| Brookfield Reinsurance vs. Maiden Holdings | Brookfield Reinsurance vs. Renaissancere Holdings | Brookfield Reinsurance vs. Greenlight Capital Re | Brookfield Reinsurance vs. Reinsurance Group of |
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 Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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