Correlation Between First Republic and Old National
Can any of the company-specific risk be diversified away by investing in both First Republic and Old National 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 Republic and Old National into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between First Republic Bank and Old National Bancorp, you can compare the effects of market volatilities on First Republic and Old National 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 Republic with a short position of Old National. Check out your portfolio center. Please also check ongoing floating volatility patterns of First Republic and Old National.
Diversification Opportunities for First Republic and Old National
-0.7 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between First and Old is -0.7. Overlapping area represents the amount of risk that can be diversified away by holding First Republic Bank and Old National Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Old National Bancorp and First Republic 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 Republic Bank are associated (or correlated) with Old National. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Old National Bancorp has no effect on the direction of First Republic i.e., First Republic and Old National go up and down completely randomly.
Pair Corralation between First Republic and Old National
Assuming the 90 days horizon First Republic Bank is expected to under-perform the Old National. In addition to that, First Republic is 23.63 times more volatile than Old National Bancorp. It trades about -0.01 of its total potential returns per unit of risk. Old National Bancorp is currently generating about 0.03 per unit of volatility. If you would invest 2,176 in Old National Bancorp on August 28, 2024 and sell it today you would earn a total of 335.00 from holding Old National Bancorp or generate 15.4% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 31.31% |
| Values | Daily Returns |
First Republic Bank vs. Old National Bancorp
Performance |
| Timeline |
| First Republic Bank |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
| Old National Bancorp |
First Republic and Old National Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with First Republic and Old National
The main advantage of trading using opposite First Republic and Old National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if First Republic position performs unexpectedly, Old National 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 National will offset losses from the drop in Old National's long position.| First Republic vs. Primoris Services | First Republic vs. Chemours Co | First Republic vs. Minerals Technologies | First Republic vs. Stepan Company |
| Old National vs. Capital One Financial | Old National vs. Capital One Financial | Old National vs. Bank of America |
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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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