Correlation Analysis Between Alleghany and Selective Insurance

This module allows you to analyze existing cross correlation between Alleghany Corporation and Selective Insurance Group. You can compare the effects of market volatilities on Alleghany and Selective Insurance 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 Selective Insurance. See also your portfolio center. Please also check ongoing floating volatility patterns of Alleghany and Selective Insurance.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

Alleghany  
99

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Alleghany Corporation are ranked lower than 9 (%) of all global equities and portfolios over the last 30 days. Inspite fairly unsteady basic indicators, Alleghany may actually be approaching a critical reversion point that can send shares even higher in October 2019.
Selective Insurance  
00

Risk-Adjusted Performance

Over the last 30 days Selective Insurance Group has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable fundamental indicators, Selective Insurance is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholder.

Alleghany and Selective Insurance Volatility Contrast

 Predicted Return Density 
      Returns 

Alleghany Corp.  vs.  Selective Insurance Group Inc

 Performance (%) 
      Timeline 

Pair Volatility

Taking into account the 30 trading days horizon, Alleghany Corporation is expected to generate 1.01 times more return on investment than Selective Insurance. However, Alleghany is 1.01 times more volatile than Selective Insurance Group. It trades about 0.14 of its potential returns per unit of risk. Selective Insurance Group is currently generating about -0.01 per unit of risk. If you would invest  68,701  in Alleghany Corporation on August 16, 2019 and sell it today you would earn a total of  8,456  from holding Alleghany Corporation or generate 12.31% return on investment over 30 days.

Pair Corralation between Alleghany and Selective Insurance

0.89
Time Period3 Months [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification Opportunities for Alleghany and Selective Insurance

Alleghany Corp. diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Alleghany Corp. and Selective Insurance Group Inc in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Selective Insurance 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 Corporation are associated (or correlated) with Selective Insurance. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Selective Insurance has no effect on the direction of Alleghany i.e. Alleghany and Selective Insurance go up and down completely randomly.
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