Correlation Between First Citizens and PT Bank
Can any of the company-specific risk be diversified away by investing in both First Citizens and PT 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 First Citizens and PT Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between First Citizens BancShares and PT Bank Rakyat, you can compare the effects of market volatilities on First Citizens and PT 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 First Citizens with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of First Citizens and PT Bank.
Diversification Opportunities for First Citizens and PT Bank
-0.42 | Correlation Coefficient |
Very good diversification
The 3 months correlation between First and BKRKF is -0.42. Overlapping area represents the amount of risk that can be diversified away by holding First Citizens BancShares and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat and First Citizens 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 First Citizens BancShares are associated (or correlated) with PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Rakyat has no effect on the direction of First Citizens i.e., First Citizens and PT Bank go up and down completely randomly.
Pair Corralation between First Citizens and PT Bank
Assuming the 90 days horizon First Citizens BancShares is expected to generate 0.34 times more return on investment than PT Bank. However, First Citizens BancShares is 2.92 times less risky than PT Bank. It trades about 0.08 of its potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.01 per unit of risk. If you would invest 128,373 in First Citizens BancShares on October 24, 2024 and sell it today you would earn a total of 94,741 from holding First Citizens BancShares or generate 73.8% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 76.92% |
| Values | Daily Returns |
First Citizens BancShares vs. PT Bank Rakyat
Performance |
| Timeline |
| First Citizens BancShares |
| PT Bank Rakyat |
First Citizens and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with First Citizens and PT Bank
The main advantage of trading using opposite First Citizens and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if First Citizens position performs unexpectedly, PT 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 PT Bank will offset losses from the drop in PT Bank's long position.| First Citizens vs. Zions Bancorporation | First Citizens vs. KeyCorp | First Citizens vs. Comerica | First Citizens vs. First Horizon National |
| PT Bank vs. Bank Mandiri Persero | PT Bank vs. Piraeus Bank SA | PT Bank vs. Eurobank Ergasias Services | PT Bank vs. Kasikornbank Public Co |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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