Pair Correlation Between MetLife and Alleghany

This module allows you to analyze existing cross correlation between MetLife Inc 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.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 MetLife Inc  vs   Alleghany Corp.
 Performance (%) 
      Timeline 

Pair Volatility

Considering 30-days investment horizon, MetLife Inc is expected to generate 0.79 times more return on investment than Alleghany. However, MetLife Inc is 1.27 times less risky than Alleghany. It trades about 0.43 of its potential returns per unit of risk. Alleghany Corporation is currently generating about 0.01 per unit of risk. If you would invest  5,045  in MetLife Inc on September 21, 2017 and sell it today you would earn a total of  284  from holding MetLife Inc or generate 5.63% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between MetLife and Alleghany
-0.47

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good 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 Inc 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 Inc

  
28 

Risk-Adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in MetLife Inc are ranked lower than 28 (%) 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.