Correlation Between Banc Of and Old Second
Can any of the company-specific risk be diversified away by investing in both Banc Of 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 Banc Of and Old Second into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Banc of California and Old Second Bancorp, you can compare the effects of market volatilities on Banc Of 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 Banc Of with a short position of Old Second. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banc Of and Old Second.
Diversification Opportunities for Banc Of and Old Second
0.71 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Banc and Old is 0.71. Overlapping area represents the amount of risk that can be diversified away by holding Banc of California 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 Banc Of 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 Banc of California 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 Banc Of i.e., Banc Of and Old Second go up and down completely randomly.
Pair Corralation between Banc Of and Old Second
Assuming the 90 days trading horizon Banc Of is expected to generate 1.67 times less return on investment than Old Second. But when comparing it to its historical volatility, Banc of California is 2.24 times less risky than Old Second. It trades about 0.08 of its potential returns per unit of risk. Old Second Bancorp is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 1,524 in Old Second Bancorp on August 25, 2024 and sell it today you would earn a total of 347.00 from holding Old Second Bancorp or generate 22.77% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Banc of California vs. Old Second Bancorp
Performance |
| Timeline |
| Banc of California |
| Old Second Bancorp |
Banc Of and Old Second Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Banc Of and Old Second
The main advantage of trading using opposite Banc Of and Old Second positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Banc Of 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.| Banc Of vs. Axos Financial | Banc Of vs. Byline Bancorp | Banc Of vs. KB Financial Group | Banc Of vs. Nu Holdings |
| 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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