Correlation Between Univest Pennsylvania and AmTrust Financial

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

By analyzing existing cross correlation between Univest Pennsylvania and AmTrust Financial Services, you can compare the effects of market volatilities on Univest Pennsylvania and AmTrust Financial 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 Univest Pennsylvania with a short position of AmTrust Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of Univest Pennsylvania and AmTrust Financial.

Diversification Opportunities for Univest Pennsylvania and AmTrust Financial

0.77

Correlation Coefficient

Univest Pennsylvania  AmTrust Financial

Poor diversification

The 3 months correlation between Univest and AmTrust is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding Univest Pennsylvania and AmTrust Financial Services in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on AmTrust Financial and Univest Pennsylvania 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 Univest Pennsylvania are associated (or correlated) with AmTrust Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of AmTrust Financial has no effect on the direction of Univest Pennsylvania i.e., Univest Pennsylvania and AmTrust Financial go up and down completely randomly.

Pair Corralation between Univest Pennsylvania and AmTrust Financial

Given the investment horizon of 90 days Univest Pennsylvania is expected to under-perform the AmTrust Financial. But the stock apears to be less risky and, when comparing its historical volatility, Univest Pennsylvania is 2.13 times less risky than AmTrust Financial. The stock trades about -0.22 of its potential returns per unit of risk. The AmTrust Financial Services is currently generating about -0.06 of returns per unit of risk over similar time horizon. If you would invest  1,451  in AmTrust Financial Services on September 26, 2024 and sell it today you would lose (66.00) from holding AmTrust Financial Services or give up 4.55% of portfolio value over 90 days.

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

Univest Pennsylvania  vs.  AmTrust Financial Services

Univest Pennsylvania

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Univest Pennsylvania are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Even with relatively fragile basic indicators, Univest Pennsylvania may actually be approaching a critical reversion point that can send shares even higher in January 2025.

AmTrust Financial

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days AmTrust Financial Services has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively invariable forward indicators, AmTrust Financial is not utilizing all of its potentials. The recent stock price agitation, may contribute to short-term losses for the retail investors.

Pair Trading with Univest Pennsylvania and AmTrust Financial

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

The idea behind Univest Pennsylvania and AmTrust Financial Services 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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.