Correlation Between Mid Penn and ST Bancorp
Can any of the company-specific risk be diversified away by investing in both Mid Penn and ST Bancorp 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 Mid Penn and ST Bancorp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mid Penn Bancorp and ST Bancorp, you can compare the effects of market volatilities on Mid Penn and ST Bancorp 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 Mid Penn with a short position of ST Bancorp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mid Penn and ST Bancorp.
Diversification Opportunities for Mid Penn and ST Bancorp
0.9 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Mid and STBA is 0.9. Overlapping area represents the amount of risk that can be diversified away by holding Mid Penn Bancorp and ST Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ST Bancorp and Mid Penn 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 Mid Penn Bancorp are associated (or correlated) with ST Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ST Bancorp has no effect on the direction of Mid Penn i.e., Mid Penn and ST Bancorp go up and down completely randomly.
Pair Corralation between Mid Penn and ST Bancorp
Considering the 90-day investment horizon Mid Penn is expected to generate 3.01 times less return on investment than ST Bancorp. But when comparing it to its historical volatility, Mid Penn Bancorp is 1.18 times less risky than ST Bancorp. It trades about 0.1 of its potential returns per unit of risk. ST Bancorp is currently generating about 0.25 of returns per unit of risk over similar time horizon. If you would invest 3,706 in ST Bancorp on November 18, 2024 and sell it today you would earn a total of 310.00 from holding ST Bancorp or generate 8.36% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mid Penn Bancorp vs. ST Bancorp
Performance |
| Timeline |
| Mid Penn Bancorp |
| ST Bancorp |
Mid Penn and ST Bancorp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mid Penn and ST Bancorp
The main advantage of trading using opposite Mid Penn and ST Bancorp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mid Penn position performs unexpectedly, ST Bancorp 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 ST Bancorp will offset losses from the drop in ST Bancorp's long position.| Mid Penn vs. Affinity Bancshares | Mid Penn vs. Home Federal Bancorp | Mid Penn vs. Franklin Financial Services | Mid Penn vs. ACNB Corporation |
| ST Bancorp vs. CrossFirst Bankshares | ST Bancorp vs. Enterprise Financial Services | ST Bancorp vs. The First Bancshares, | ST Bancorp vs. First Bancorp |
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 Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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