Correlation Between Swiss Re and SiriusPoint

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

Diversification Opportunities for Swiss Re and SiriusPoint

SwissSiriusPointDiversified AwaySwissSiriusPointDiversified Away100%
0.72
  Correlation Coefficient

Poor diversification

The 3 months correlation between Swiss and SiriusPoint is 0.72. Overlapping area represents the amount of risk that can be diversified away by holding Swiss Re AG and SiriusPoint in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SiriusPoint and Swiss Re 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 Swiss Re AG are associated (or correlated) with SiriusPoint. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SiriusPoint has no effect on the direction of Swiss Re i.e., Swiss Re and SiriusPoint go up and down completely randomly.

Pair Corralation between Swiss Re and SiriusPoint

Assuming the 90 days horizon Swiss Re AG is expected to generate 4.5 times more return on investment than SiriusPoint. However, Swiss Re is 4.5 times more volatile than SiriusPoint. It trades about 0.07 of its potential returns per unit of risk. SiriusPoint is currently generating about 0.1 per unit of risk. If you would invest  13,521  in Swiss Re AG on September 22, 2024 and sell it today you would earn a total of  779.00  from holding Swiss Re AG or generate 5.76% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Together 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Swiss Re AG  vs.  SiriusPoint

 Performance 
JavaScript chart by amCharts 3.21.15OctNovDec -50510
JavaScript chart by amCharts 3.21.15SSREF SPNT-PB
       Timeline  
Swiss Re AG 

Risk-Adjusted Performance

5 of 100

 
Weak
 
Strong
Modest
Compared to the overall equity markets, risk-adjusted returns on investments in Swiss Re AG are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite nearly stable technical and fundamental indicators, Swiss Re is not utilizing all of its potentials. The current stock price disturbance, may contribute to mid-run losses for the stockholders.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec130135140145150
SiriusPoint 

Risk-Adjusted Performance

7 of 100

 
Weak
 
Strong
OK
Compared to the overall equity markets, risk-adjusted returns on investments in SiriusPoint are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. Despite somewhat strong fundamental drivers, SiriusPoint is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.
JavaScript chart by amCharts 3.21.15OctNovDecNovDec24.82525.225.425.625.8

Swiss Re and SiriusPoint Volatility Contrast

   Predicted Return Density   
JavaScript chart by amCharts 3.21.15-4.66-3.49-2.32-1.150.02021.212.423.634.84 0.51.01.52.02.53.03.5
JavaScript chart by amCharts 3.21.15SSREF SPNT-PB
       Returns  

Pair Trading with Swiss Re and SiriusPoint

The main advantage of trading using opposite Swiss Re and SiriusPoint positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Swiss Re position performs unexpectedly, SiriusPoint 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 SiriusPoint will offset losses from the drop in SiriusPoint's long position.
The idea behind Swiss Re AG and SiriusPoint 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.
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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 Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.

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