Correlation Between Alleghany and Colas SA
Can any of the company-specific risk be diversified away by investing in both Alleghany and Colas SA 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 Alleghany and Colas SA into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Alleghany and Colas SA, you can compare the effects of market volatilities on Alleghany and Colas SA 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 Alleghany with a short position of Colas SA. Check out your portfolio center. Please also check ongoing floating volatility patterns of Alleghany and Colas SA.
Diversification Opportunities for Alleghany and Colas SA
Poor diversification
The 3 months correlation between Alleghany and Colas is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding Alleghany and Colas SA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Colas SA and Alleghany 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 Alleghany are associated (or correlated) with Colas SA. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Colas SA has no effect on the direction of Alleghany i.e., Alleghany and Colas SA go up and down completely randomly.
Pair Corralation between Alleghany and Colas SA
Taking into account the 90-day investment horizon Alleghany is expected to generate 8.26 times less return on investment than Colas SA. But when comparing it to its historical volatility, Alleghany is 10.29 times less risky than Colas SA. It trades about 0.07 of its potential returns per unit of risk. Colas SA is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 27,872 in Colas SA on January 24, 2024 and sell it today you would earn a total of 9,198 from holding Colas SA or generate 33.0% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 34.41% |
| Values | Daily Returns |
Alleghany vs. Colas SA
Performance |
| Timeline |
| Alleghany |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Colas SA |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Alleghany and Colas SA Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Alleghany and Colas SA
The main advantage of trading using opposite Alleghany and Colas SA positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Alleghany position performs unexpectedly, Colas SA 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 Colas SA will offset losses from the drop in Colas SA's long position.| Alleghany vs. Saia Inc | Alleghany vs. Sun Country Airlines | Alleghany vs. Planet Fitness | Alleghany vs. Yuexiu Transport Infrastructure |
| Colas SA vs. Reinsurance Group of | Colas SA vs. Siriuspoint | Colas SA vs. Brookfield Reinsurance | Colas SA vs. RenaissanceRe Holdings |
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 Global Correlations module to find global opportunities by holding instruments from different markets.
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