Any asset can use some portfolio of similar assets to insure against its own factor risks, even if the identities of the factors are unknown. A long position of an asset and a short position of this portfolio forms an asset insurance premium (AIP) that is different from the equity risk premium. We estimate the AIP by projecting a stock’s return onto the entire asset returns span using a machine learning method. Stocks least (most) synchronized with other stocks earn a monthly AIP of 0.976% (0.305%). Asset synchronicity is countercyclical: high consumption growth correlates with low average asset insurance premium.
