Correlation Between Small Cap and Citizens Bancorp
Can any of the company-specific risk be diversified away by investing in both Small Cap and Citizens 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 Small Cap and Citizens Bancorp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Small Cap Premium and Citizens Bancorp Investment, you can compare the effects of market volatilities on Small Cap and Citizens 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 Small Cap with a short position of Citizens Bancorp. Check out your portfolio center. Please also check ongoing floating volatility patterns of Small Cap and Citizens Bancorp.
Diversification Opportunities for Small Cap and Citizens Bancorp
-0.2 | Correlation Coefficient |
Good diversification
The 3 months correlation between Small and Citizens is -0.2. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Premium and Citizens Bancorp Investment in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Citizens Bancorp Inv and Small Cap 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 Small Cap Premium are associated (or correlated) with Citizens Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Citizens Bancorp Inv has no effect on the direction of Small Cap i.e., Small Cap and Citizens Bancorp go up and down completely randomly.
Pair Corralation between Small Cap and Citizens Bancorp
Considering the 90-day investment horizon Small Cap is expected to generate 4.71 times less return on investment than Citizens Bancorp. But when comparing it to its historical volatility, Small Cap Premium is 3.52 times less risky than Citizens Bancorp. It trades about 0.05 of its potential returns per unit of risk. Citizens Bancorp Investment is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 2,332 in Citizens Bancorp Investment on August 31, 2024 and sell it today you would earn a total of 168.00 from holding Citizens Bancorp Investment or generate 7.2% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Small Cap Premium vs. Citizens Bancorp Investment
Performance |
| Timeline |
| Small Cap Premium |
| Citizens Bancorp Inv |
Small Cap and Citizens Bancorp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Small Cap and Citizens Bancorp
The main advantage of trading using opposite Small Cap and Citizens Bancorp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Small Cap position performs unexpectedly, Citizens 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 Citizens Bancorp will offset losses from the drop in Citizens Bancorp's long position.| Small Cap vs. RiverNorth Specialty Finance | Small Cap vs. Royce Micro Cap | Small Cap vs. First Trust Enhanced | Small Cap vs. Voya Global Advantage |
| Citizens Bancorp vs. Greenville Federal Financial | Citizens Bancorp vs. First Ottawa Bancshares | Citizens Bancorp vs. Coastal Carolina Bancshares | Citizens Bancorp vs. First Bankers Trustshares |
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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