Correlation Between ESSA Bancorp and Citizens Financial
Can any of the company-specific risk be diversified away by investing in both ESSA Bancorp and Citizens Financial 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 ESSA Bancorp and Citizens Financial into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ESSA Bancorp and Citizens Financial Group,, you can compare the effects of market volatilities on ESSA Bancorp and Citizens Financial 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 ESSA Bancorp with a short position of Citizens Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of ESSA Bancorp and Citizens Financial.
Diversification Opportunities for ESSA Bancorp and Citizens Financial
0.66 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ESSA and Citizens is 0.66. Overlapping area represents the amount of risk that can be diversified away by holding ESSA Bancorp and Citizens Financial Group, in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citizens Financial Group, and ESSA Bancorp 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 ESSA Bancorp are associated (or correlated) with Citizens Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citizens Financial Group, has no effect on the direction of ESSA Bancorp i.e., ESSA Bancorp and Citizens Financial go up and down completely randomly.
Pair Corralation between ESSA Bancorp and Citizens Financial
Given the investment horizon of 90 days ESSA Bancorp is expected to generate 2.65 times less return on investment than Citizens Financial. But when comparing it to its historical volatility, ESSA Bancorp is 1.02 times less risky than Citizens Financial. It trades about 0.01 of its potential returns per unit of risk. Citizens Financial Group, is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest 3,575 in Citizens Financial Group, on August 28, 2024 and sell it today you would earn a total of 1,271 from holding Citizens Financial Group, or generate 35.55% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ESSA Bancorp vs. Citizens Financial Group,
Performance |
| Timeline |
| ESSA Bancorp |
| Citizens Financial Group, |
ESSA Bancorp and Citizens Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ESSA Bancorp and Citizens Financial
The main advantage of trading using opposite ESSA Bancorp and Citizens Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ESSA Bancorp position performs unexpectedly, Citizens Financial 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 Citizens Financial will offset losses from the drop in Citizens Financial's long position.| ESSA Bancorp vs. Fifth Third Bancorp | ESSA Bancorp vs. Zions Bancorporation | ESSA Bancorp vs. Huntington Bancshares Incorporated | ESSA Bancorp vs. Comerica |
| Citizens Financial vs. PNC Financial Services | Citizens Financial vs. Regions Financial | Citizens Financial vs. Fifth Third Bancorp | Citizens Financial vs. Comerica |
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 Stocks Directory module to find actively traded stocks across global markets.
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