Correlation Between BancFirst and National Bank
Can any of the company-specific risk be diversified away by investing in both BancFirst and National Bank 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 BancFirst and National Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between BancFirst and National Bank Holdings, you can compare the effects of market volatilities on BancFirst and National Bank 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 BancFirst with a short position of National Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of BancFirst and National Bank.
Diversification Opportunities for BancFirst and National Bank
0.5 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between BancFirst and National is 0.5. Overlapping area represents the amount of risk that can be diversified away by holding BancFirst and National Bank Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on National Bank Holdings and BancFirst 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 BancFirst are associated (or correlated) with National Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of National Bank Holdings has no effect on the direction of BancFirst i.e., BancFirst and National Bank go up and down completely randomly.
Pair Corralation between BancFirst and National Bank
Given the investment horizon of 90 days BancFirst is expected to generate 1.08 times more return on investment than National Bank. However, BancFirst is 1.08 times more volatile than National Bank Holdings. It trades about 0.09 of its potential returns per unit of risk. National Bank Holdings is currently generating about -0.16 per unit of risk. If you would invest 8,578 in BancFirst on February 1, 2024 and sell it today you would earn a total of 339.00 from holding BancFirst or generate 3.95% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Weak |
Accuracy | 100.0% |
Values | Daily Returns |
BancFirst vs. National Bank Holdings
Performance |
Timeline |
BancFirst |
National Bank Holdings |
BancFirst and National Bank Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with BancFirst and National Bank
The main advantage of trading using opposite BancFirst and National Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BancFirst position performs unexpectedly, National Bank 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 National Bank will offset losses from the drop in National Bank's long position.BancFirst vs. Glacier Bancorp | BancFirst vs. BOK Financial | BancFirst vs. First Financial Bancorp | BancFirst vs. First Bancorp |
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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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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