Correlation Between Gold Fields and Alleghany

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Can any of the company-specific risk be diversified away by investing in both Gold Fields and Alleghany 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 Gold Fields and Alleghany into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Gold Fields and Alleghany, you can compare the effects of market volatilities on Gold Fields 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 Gold Fields with a short position of Alleghany. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gold Fields and Alleghany.

Diversification Opportunities for Gold Fields and Alleghany

0.17
  Correlation Coefficient

Average diversification

The 3 months correlation between Gold and Alleghany is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding Gold Fields Ltd and Alleghany in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Alleghany and Gold Fields 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 Gold Fields 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 Gold Fields i.e., Gold Fields and Alleghany go up and down completely randomly.

Pair Corralation between Gold Fields and Alleghany

If you would invest  1,223  in Gold Fields on December 29, 2023 and sell it today you would earn a total of  338.00  from holding Gold Fields or generate 27.64% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthInsignificant
Accuracy4.55%
ValuesDaily Returns

Gold Fields Ltd  vs.  Alleghany

 Performance 
       Timeline  
Gold Fields 

Risk-Adjusted Performance

4 of 100

 
Low
 
High
Insignificant
Compared to the overall equity markets, risk-adjusted returns on investments in Gold Fields are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. Despite fairly unsteady technical and fundamental indicators, Gold Fields may actually be approaching a critical reversion point that can send shares even higher in April 2024.
Alleghany 

Risk-Adjusted Performance

0 of 100

 
Low
 
High
Very Weak
Over the last 90 days Alleghany has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of fairly strong basic indicators, Alleghany is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Gold Fields and Alleghany Volatility Contrast

   Predicted Return Density   
       Returns  

Pair Trading with Gold Fields and Alleghany

The main advantage of trading using opposite Gold Fields and Alleghany positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gold Fields position performs unexpectedly, Alleghany 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 Alleghany will offset losses from the drop in Alleghany's long position.
The idea behind Gold Fields and Alleghany 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.

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