Correlation Between ESSA Bancorp and First Citizens
Can any of the company-specific risk be diversified away by investing in both ESSA Bancorp and First Citizens 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 First Citizens into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ESSA Bancorp and First Citizens BancShares, you can compare the effects of market volatilities on ESSA Bancorp and First Citizens 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 First Citizens. Check out your portfolio center. Please also check ongoing floating volatility patterns of ESSA Bancorp and First Citizens.
Diversification Opportunities for ESSA Bancorp and First Citizens
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ESSA and First is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding ESSA Bancorp and First Citizens BancShares in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on First Citizens BancShares 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 First Citizens. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of First Citizens BancShares has no effect on the direction of ESSA Bancorp i.e., ESSA Bancorp and First Citizens go up and down completely randomly.
Pair Corralation between ESSA Bancorp and First Citizens
Given the investment horizon of 90 days ESSA Bancorp is expected to generate 1.54 times less return on investment than First Citizens. In addition to that, ESSA Bancorp is 1.11 times more volatile than First Citizens BancShares. It trades about 0.05 of its total potential returns per unit of risk. First Citizens BancShares is currently generating about 0.09 per unit of volatility. If you would invest 142,142 in First Citizens BancShares on September 1, 2024 and sell it today you would earn a total of 87,358 from holding First Citizens BancShares or generate 61.46% 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. First Citizens BancShares
Performance |
| Timeline |
| ESSA Bancorp |
| First Citizens BancShares |
ESSA Bancorp and First Citizens Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ESSA Bancorp and First Citizens
The main advantage of trading using opposite ESSA Bancorp and First Citizens positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ESSA Bancorp position performs unexpectedly, First Citizens 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 First Citizens will offset losses from the drop in First Citizens' long position.| ESSA Bancorp vs. Community West Bancshares | ESSA Bancorp vs. First Northwest Bancorp | ESSA Bancorp vs. First Community | ESSA Bancorp vs. Oak Valley Bancorp |
| First Citizens vs. Zions Bancorporation | First Citizens vs. KeyCorp | First Citizens vs. Comerica | First Citizens vs. First Horizon National |
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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
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