MGIC Investment Correlations

MTG Stock

USD 26.11 0.22 0.84%

The current 90-days correlation between MGIC Investment Corp and NMI Holdings is 0.83 (i.e., Very poor diversification). The correlation of MGIC Investment is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

MGIC Investment Correlation With Market

Very weak diversification

The correlation between MGIC Investment Corp and DJI is 0.49 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MGIC Investment Corp and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in MGIC Investment Corp. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with MGIC Stock

0.76	ACT	Enact Holdings	Pair Corr
0.68	FAF	First American	Pair Corr
0.65	FNF	Fidelity National Normal Trading	Pair Corr
0.75	RDN	Radian Group Normal Trading	Pair Corr
0.66	NMIH	NMI Holdings Normal Trading	Pair Corr
0.62	CB	Chubb	Pair Corr
0.75	EG	Everest Group	Pair Corr

Related Correlations Analysis

	MBI	NMIH	ESNT	AGO	EIG	JRVR	ICCH	RDN	AMBC	AMSF
MBI		-0.5	-0.68	0.87	0.85	-0.85	0.42	-0.02	0.85	0.79	MBI
NMIH	-0.5		0.92	-0.53	-0.55	0.48	-0.55	0.67	-0.33	-0.77	NMIH
ESNT	-0.68	0.92		-0.67	-0.73	0.65	-0.54	0.6	-0.47	-0.86	ESNT
AGO	0.87	-0.53	-0.67		0.9	-0.72	0.56	-0.07	0.86	0.88	AGO
EIG	0.85	-0.55	-0.73	0.9		-0.71	0.49	-0.05	0.78	0.89	EIG
JRVR	-0.85	0.48	0.65	-0.72	-0.71		-0.39	0.22	-0.64	-0.66	JRVR
ICCH	0.42	-0.55	-0.54	0.56	0.49	-0.39		-0.34	0.36	0.65	ICCH
RDN	-0.02	0.67	0.6	-0.07	-0.05	0.22	-0.34		0.17	-0.26	RDN
AMBC	0.85	-0.33	-0.47	0.86	0.78	-0.64	0.36	0.17		0.72	AMBC
AMSF	0.79	-0.77	-0.86	0.88	0.89	-0.66	0.65	-0.26	0.72		AMSF
	MBI	NMIH	ESNT	AGO	EIG	JRVR	ICCH	RDN	AMBC	AMSF

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

ESNT	+ 0.92	NMIH
EIG	+ 0.9	AGO
AMSF	+ 0.89	EIG
AMSF	+ 0.88	AGO
AGO	+ 0.87	MBI
AMBC	+ 0.86	AGO

High negative correlations

AMSF	- 0.86	ESNT
JRVR	- 0.85	MBI
AMSF	- 0.77	NMIH
EIG	- 0.73	ESNT
JRVR	- 0.72	AGO
JRVR	- 0.71	EIG

Risk-Adjusted Indicators

There is a big difference between MGIC Stock performing well and MGIC Investment Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze MGIC Investment's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MBI	2.87	0.72	0.26	0.45	2.37	(3.26)	7.12	(4.02)	23.93
NMIH	1.09	(0.09)	(0.06)	0.00	1.71	(1.07)	2.37	(2.55)	9.75
ESNT	1.13	(0.23)	0.00	(0.13)	0.00	0.00	1.88	(2.14)	13.14
AGO	1.28	0.14	0.12	0.23	1.17	(1.48)	2.89	(2.50)	9.67
EIG	1.02	0.07	0.07	0.17	1.00	(1.16)	2.46	(1.95)	11.24
JRVR	2.41	(0.85)	0.00	(0.21)	0.00	0.00	3.81	(5.22)	31.93
ICCH	0.30	0.01	(0.19)	0.01	0.44	(0.36)	0.74	(0.60)	3.36
RDN	1.30	(0.11)	(0.04)	0.01	2.25	(1.18)	2.35	(2.26)	11.88
AMBC	1.35	0.07	0.03	0.18	1.75	(1.42)	3.27	(2.90)	16.30
AMSF	1.08	0.17	0.14	0.28	0.87	(1.31)	2.32	(2.12)	12.74

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