Correlation Between Valley National and First Citizens
Can any of the company-specific risk be diversified away by investing in both Valley National 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 Valley National and First Citizens into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Valley National Bancorp and First Citizens BancShares, you can compare the effects of market volatilities on Valley National 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 Valley National with a short position of First Citizens. Check out your portfolio center. Please also check ongoing floating volatility patterns of Valley National and First Citizens.
Diversification Opportunities for Valley National and First Citizens
0.74 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Valley and First is 0.74. Overlapping area represents the amount of risk that can be diversified away by holding Valley National 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 Valley National 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 Valley National 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 Valley National i.e., Valley National and First Citizens go up and down completely randomly.
Pair Corralation between Valley National and First Citizens
Assuming the 90 days horizon Valley National is expected to generate 1.09 times less return on investment than First Citizens. In addition to that, Valley National is 1.57 times more volatile than First Citizens BancShares. It trades about 0.03 of its total potential returns per unit of risk. First Citizens BancShares is currently generating about 0.04 per unit of volatility. If you would invest 1,829 in First Citizens BancShares on August 24, 2024 and sell it today you would earn a total of 465.00 from holding First Citizens BancShares or generate 25.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Valley National Bancorp vs. First Citizens BancShares
Performance |
| Timeline |
| Valley National Bancorp |
| First Citizens BancShares |
Valley National and First Citizens Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Valley National and First Citizens
The main advantage of trading using opposite Valley National and First Citizens positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Valley National 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.| Valley National vs. Capital One Financial | Valley National vs. Capital One Financial | Valley National vs. Bank of America | Valley National vs. KeyCorp |
| First Citizens vs. Fifth Third Bancorp | First Citizens vs. Dime Community Bancshares | First Citizens vs. Fifth Third Bancorp | First Citizens vs. Northern Trust |
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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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