Correlation Analysis Between MetLife and Alleghany

This module allows you to analyze existing cross correlation between MetLife and Alleghany Corporation. You can compare the effects of market volatilities on MetLife and Alleghany 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 MetLife with a short position of Alleghany. See also your portfolio center. Please also check ongoing floating volatility patterns of MetLife and Alleghany.
 Time Horizon     30 Days    Login   to change
Symbolsvs

MetLife Inc  vs.  Alleghany Corp.

 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, MetLife is expected to generate 1.8 times more return on investment than Alleghany. However, MetLife is 1.8 times more volatile than Alleghany Corporation. It trades about 0.03 of its potential returns per unit of risk. Alleghany Corporation is currently generating about -0.09 per unit of risk. If you would invest  4,749  in MetLife on April 20, 2018 and sell it today you would earn a total of  29.00  from holding MetLife or generate 0.61% return on investment over 30 days.

Pair Corralation between MetLife and Alleghany

0.66
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy95.45%
ValuesDaily Returns

Diversification

Poor diversification

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

Comparative Volatility

 Predicted Return Density 
      Returns 
MetLife  
1 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MetLife are ranked lower than 1 (%) of all global equities and portfolios over the last 30 days.
Alleghany  
0 

Risk-Adjusted Performance

Over the last 30 days Alleghany Corporation has generated negative risk-adjusted returns adding no value to investors with long positions.

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