Correlation Between Tokio Marine and Sompo Holdings
Can any of the company-specific risk be diversified away by investing in both Tokio Marine 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 Tokio Marine and Sompo Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Tokio Marine Holdings and Sompo Holdings, you can compare the effects of market volatilities on Tokio Marine 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 Tokio Marine with a short position of Sompo Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Tokio Marine and Sompo Holdings.
Diversification Opportunities for Tokio Marine and Sompo Holdings
-0.36 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Tokio and Sompo is -0.36. Overlapping area represents the amount of risk that can be diversified away by holding Tokio Marine Holdings and Sompo Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sompo Holdings and Tokio Marine 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 Tokio Marine Holdings 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 has no effect on the direction of Tokio Marine i.e., Tokio Marine and Sompo Holdings go up and down completely randomly.
Pair Corralation between Tokio Marine and Sompo Holdings
Assuming the 90 days horizon Tokio Marine Holdings is expected to generate 1.82 times more return on investment than Sompo Holdings. However, Tokio Marine is 1.82 times more volatile than Sompo Holdings. It trades about 0.09 of its potential returns per unit of risk. Sompo Holdings is currently generating about -0.16 per unit of risk. If you would invest 3,115 in Tokio Marine Holdings on March 12, 2024 and sell it today you would earn a total of 240.00 from holding Tokio Marine Holdings or generate 7.7% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Tokio Marine Holdings vs. Sompo Holdings
Performance |
Timeline |
Tokio Marine Holdings |
Sompo Holdings |
Tokio Marine and Sompo Holdings Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Tokio Marine and Sompo Holdings
The main advantage of trading using opposite Tokio Marine and Sompo Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Tokio Marine 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.Tokio Marine vs. AmTrust Financial Services | Tokio Marine vs. AmTrust Financial Services | Tokio Marine vs. High Yield Municipal Fund | Tokio Marine vs. Morningstar Unconstrained Allocation |
Sompo Holdings vs. AmTrust Financial Services | Sompo Holdings vs. AmTrust Financial Services | Sompo Holdings vs. High Yield Municipal Fund | Sompo Holdings vs. Morningstar Unconstrained Allocation |
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 Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
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