Correlation Between Auburn National and Old Second
Can any of the company-specific risk be diversified away by investing in both Auburn National and Old Second 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 Auburn National and Old Second into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Auburn National Bancorporation and Old Second Bancorp, you can compare the effects of market volatilities on Auburn National and Old Second 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 Auburn National with a short position of Old Second. Check out your portfolio center. Please also check ongoing floating volatility patterns of Auburn National and Old Second.
Diversification Opportunities for Auburn National and Old Second
-0.47 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Auburn and Old is -0.47. Overlapping area represents the amount of risk that can be diversified away by holding Auburn National Bancorp. and Old Second Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old Second Bancorp and Auburn National 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 Auburn National Bancorporation are associated (or correlated) with Old Second. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old Second Bancorp has no effect on the direction of Auburn National i.e., Auburn National and Old Second go up and down completely randomly.
Pair Corralation between Auburn National and Old Second
Given the investment horizon of 90 days Auburn National Bancorporation is expected to generate 1.62 times more return on investment than Old Second. However, Auburn National is 1.62 times more volatile than Old Second Bancorp. It trades about -0.04 of its potential returns per unit of risk. Old Second Bancorp is currently generating about -0.09 per unit of risk. If you would invest 2,193 in Auburn National Bancorporation on December 1, 2024 and sell it today you would lose (45.00) from holding Auburn National Bancorporation or give up 2.05% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Auburn National Bancorp. vs. Old Second Bancorp
Performance |
| Timeline |
| Auburn National Banc |
| Old Second Bancorp |
Auburn National and Old Second Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Auburn National and Old Second
The main advantage of trading using opposite Auburn National and Old Second positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Auburn National position performs unexpectedly, Old Second 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 Old Second will offset losses from the drop in Old Second's long position.| Auburn National vs. Home Federal Bancorp | Auburn National vs. LINKBANCORP | Auburn National vs. Affinity Bancshares | Auburn National vs. Southern California Bancorp |
| Old Second vs. Ohio Valley Banc | Old Second vs. Peoples Bancorp | Old Second vs. OceanFirst Financial Corp | Old Second vs. QCR Holdings |
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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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