Correlation Between SiriusPoint and Greenlight Capital

Can any of the company-specific risk be diversified away by investing in both SiriusPoint and Greenlight Capital 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 SiriusPoint and Greenlight Capital into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between SiriusPoint and Greenlight Capital Re, you can compare the effects of market volatilities on SiriusPoint and Greenlight Capital 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 SiriusPoint with a short position of Greenlight Capital. Check out your portfolio center. Please also check ongoing floating volatility patterns of SiriusPoint and Greenlight Capital.

Diversification Opportunities for SiriusPoint and Greenlight Capital

0.72

Correlation Coefficient

SiriusPoint  Greenlight Capital

Poor diversification

The 3 months correlation between SiriusPoint and Greenlight is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding SiriusPoint and Greenlight Capital Re in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Greenlight Capital and SiriusPoint 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 SiriusPoint are associated (or correlated) with Greenlight Capital. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Greenlight Capital has no effect on the direction of SiriusPoint i.e., SiriusPoint and Greenlight Capital go up and down completely randomly.

Pair Corralation between SiriusPoint and Greenlight Capital

Assuming the 90 days trading horizon SiriusPoint is expected to generate 9.7 times less return on investment than Greenlight Capital. But when comparing it to its historical volatility, SiriusPoint is 6.45 times less risky than Greenlight Capital. It trades about 0.06 of its potential returns per unit of risk. Greenlight Capital Re is currently generating about 0.1 of returns per unit of risk over similar time horizon. If you would invest  1,227  in Greenlight Capital Re on February 2, 2024 and sell it today you would earn a total of  36.00  from holding Greenlight Capital Re or generate 2.93% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

SiriusPoint  vs.  Greenlight Capital Re

SiriusPoint

Risk-Adjusted Performance

9 of 100

Good

Compared to the overall equity markets, risk-adjusted returns on investments in SiriusPoint are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong basic indicators, SiriusPoint is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Greenlight Capital

Risk-Adjusted Performance

9 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Greenlight Capital Re are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of rather fragile basic indicators, Greenlight Capital exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with SiriusPoint and Greenlight Capital

The main advantage of trading using opposite SiriusPoint and Greenlight Capital positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if SiriusPoint position performs unexpectedly, Greenlight Capital 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 Greenlight Capital will offset losses from the drop in Greenlight Capital's long position.

The idea behind SiriusPoint and Greenlight Capital Re 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.

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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.