Correlation Between W R and Sompo Holdings
Can any of the company-specific risk be diversified away by investing in both W R and Sompo Holdings 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 W R and Sompo Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between W R Berkley and Sompo Holdings ADR, you can compare the effects of market volatilities on W R and Sompo Holdings 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 W R with a short position of Sompo Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of W R and Sompo Holdings.
Diversification Opportunities for W R and Sompo Holdings
0.22 | Correlation Coefficient |
Modest diversification
The 3 months correlation between WRB and Sompo is 0.22. Overlapping area represents the amount of risk that can be diversified away by holding W R Berkley and Sompo Holdings ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sompo Holdings ADR and W R 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 W R Berkley are associated (or correlated) with Sompo Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sompo Holdings ADR has no effect on the direction of W R i.e., W R and Sompo Holdings go up and down completely randomly.
Pair Corralation between W R and Sompo Holdings
Considering the 90-day investment horizon W R Berkley is expected to generate 0.97 times more return on investment than Sompo Holdings. However, W R Berkley is 1.03 times less risky than Sompo Holdings. It trades about 0.15 of its potential returns per unit of risk. Sompo Holdings ADR is currently generating about 0.14 per unit of risk. If you would invest 5,920 in W R Berkley on November 28, 2024 and sell it today you would earn a total of 219.00 from holding W R Berkley or generate 3.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 95.45% |
| Values | Daily Returns |
W R Berkley vs. Sompo Holdings ADR
Performance |
| Timeline |
| W R Berkley |
| Sompo Holdings ADR |
W R and Sompo Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with W R and Sompo Holdings
The main advantage of trading using opposite W R and Sompo Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if W R position performs unexpectedly, Sompo Holdings 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 Sompo Holdings will offset losses from the drop in Sompo Holdings' long position.The idea behind W R Berkley and Sompo Holdings ADR 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.| Sompo Holdings vs. MSAD Insurance Group | Sompo Holdings vs. The Allstate | Sompo Holdings vs. Horace Mann Educators | Sompo Holdings vs. Selective Insurance 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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