Five Star Bancorp Stock Volatility

FSBC Stock

USD 41.74 0.50 1.21%

Five Star's volatility, beta, and downside-risk metrics are presented in one read. It carries a 0.53 long-term beta, meaning it tends to be less volatile than the market as a whole. The stock shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0521

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Worst

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Five Star Bancorp (FSBC) recorded a Market Risk Adjusted Performance of 0.1%, a Risk of 1.30, and a Risk Adjusted Performance of 0.03%. The stock is tracking at approximately 4% of its historical trend range per monthly averages.

Key indicators related to Five Star's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Low

90 Days Economic Sensitivity

Follows the market closely

Key risk metrics for Five Star (3 Months):

Beta

0.78

Alpha

0.03

Risk

1.3

Sharpe Ratio

0.05

Expected Return

0.07

Assets With Similar Volatility

0.95	BY	Byline Bancorp	Pair Corr
0.8	PB	Prosperity Bancshares	Pair Corr
0.74	UIO	ATLANTIC UNION BANKSDL	Pair Corr
0.81	WABC	Westamerica Bancorporation	Pair Corr
0.66	MM0	MONETA MONEY BANK	Pair Corr
0.92	WTFC	Wintrust Financial	Pair Corr
0.88	BFC	Bank First National	Pair Corr
0.94	CFG	Citizens Financial Group	Pair Corr
0.89	CFR	CullenFrost Bankers	Pair Corr
0.94	FHN	First Horizon	Pair Corr
0.79	BBK	Truist Financial	Pair Corr
0.91	ONB	Old National Bancorp	Pair Corr
0.96	VLY	Valley National Bancorp	Pair Corr
0.75	WAL	Western Alliance Bancorporation	Pair Corr
0.91	WBS	Webster Financial	Pair Corr
0.96	ZION	Zions Bancorporation	Pair Corr
0.82	P9O	Powszechna Kasa Oszczednosci Earnings Call This Week	Pair Corr
0.61	MZ8A	Mizuho Financial Group Earnings Call This Week	Pair Corr
0.95	PNFP	Pinnacle Financial Partners	Pair Corr

Sensitivity To Market

Beta analysis for Five Star Bancorp evaluates how its price movements correlate with the broader market. With a beta of 0.78, Five Star reflects measurable exposure to systematic risk. Observed total volatility stands near 1.3%. Asymmetric risk in Five Star Bancorp is visible through downside-focused metrics. Downside deviation reads 1.24% and semi-deviation reads 1.2%, isolating the loss-side component of total return variability. Stock volatility reflects changes in expectations about revenue, margins, and competitive position. For Five Star Bancorp, price swings may be influenced by sector movement and company-specific headlines.

Current 90-day Five Star correlation with market (Dow Jones Industrial)

0.03

0.78

Competition

3 Months Beta |Five Star Bancorp Demand Trend

Current 90-day Five Star correlation with market (Dow Jones Industrial)

Downside Risk

The standard deviation reading for Five Star summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. When Five Star standard deviation rises relative to its historical range, it signals a regime change in price behavior.

Standard Deviation

1.3

Standard deviation and downside deviation are complementary tools for assessing Five Star's risk. Downside deviation or semi-deviation of Five Star's returns isolates the loss-side component of total variability. For Five Star, understanding the difference between standard deviation and downside deviation is analytically important. Five Star Bancorp (FSBC) recorded a Downside Deviation of 1.24, a Downside Variance of 1.54, and a Maximum Drawdown of 5.58.

Stock Volatility Analysis

In evaluating Five Star as an investment, volatility is a primary indicator of risk. High volatility generally means the stock price moves dramatically in a short period of time. Lower risk tolerance generally corresponds to preference for stocks exhibiting lower volatility.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Five Star Bancorp's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.

Projected Return Density Against Market

Given a 90-day horizon, Five Star has a beta of 0.7838. This usually indicates as returns on the market go up, Five Star's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Five Star Bancorp tends to be smaller as well.

Risk for Five Star can be divided into market-wide and asset-specific components. While diversification may mitigate unsystematic factors, systematic risk tied to the stock market cannot be eliminated. Historical beta and volatility measures provide context. Five Star Bancorp (FSBC) recorded a Downside Deviation of 1.24, a Mean Deviation of 0.97, and a Semi Deviation of 1.20.

Five Star Bancorp has an alpha of 0.0343, implying that it can generate a 0.0343 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

Five Star's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far Five Star's returns usually move from the mean over the selected horizon.

What Drives Five Star's Price Volatility?

Industry Dynamics

Peer results and sector re-ratings in the Banks sector often influence how investors price Five Star's risk.

Political and Economic Environment

Macro data and central-bank signals can change valuation assumptions and short-term positioning around Five Star.

Five Star's Company-Specific Factors

Company-specific events such as product updates, strategic actions, or execution issues can trigger volatility clusters.

Stock Risk Measures

Given a 90-day horizon, the coefficient of variation of Five Star is 1918.82. The daily returns are distributed with a variance of 1.68 and standard deviation of 1.3. The mean deviation of Five Star Bancorp is currently at 0.97. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96

α	Alpha over Dow Jones	0.03	Details
β	Beta against Dow Jones	0.78	Details
σ	Overall volatility	1.30	Details
Ir	Information ratio	0.03	Details

Stock Return Volatility

Daily return volatility for Five Star measures how far stock returns deviate from their average on a day-to-day basis. The firm shows 1.2958% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial reported 0.9236% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	HFWA	HBT	CPF	BFST	EFSC	HBNC	HAFC	MOFG	CFFN	CCNE
HFWA		0.94	0.92	0.85	0.96	0.93	0.66	0.24	0.89	0.75	HFWA
HBT	0.94		0.9	0.91	0.92	0.9	0.61	0.17	0.85	0.74	HBT
CPF	0.92	0.9		0.77	0.91	0.96	0.82	0.48	0.96	0.87	CPF
BFST	0.85	0.91	0.77		0.82	0.76	0.35	-0.09	0.67	0.54	BFST
EFSC	0.96	0.92	0.91	0.82		0.93	0.69	0.27	0.9	0.72	EFSC
HBNC	0.93	0.9	0.96	0.76	0.93		0.83	0.47	0.96	0.81	HBNC
HAFC	0.66	0.61	0.82	0.35	0.69	0.83		0.79	0.89	0.83	HAFC
MOFG	0.24	0.17	0.48	-0.09	0.27	0.47	0.79		0.57	0.57	MOFG
CFFN	0.89	0.85	0.96	0.67	0.9	0.96	0.89	0.57		0.89	CFFN
CCNE	0.75	0.74	0.87	0.54	0.72	0.81	0.83	0.57	0.89		CCNE
	HFWA	HBT	CPF	BFST	EFSC	HBNC	HAFC	MOFG	CFFN	CCNE

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

EFSC	+ 0.96	HFWA
HBNC	+ 0.96	CPF
CFFN	+ 0.96	CPF
CFFN	+ 0.96	HBNC
HBT	+ 0.94	HFWA
HBNC	+ 0.93	HFWA

High negative correlations

MOFG

- 0.09

BFST

Risk-Adjusted Indicators

Evaluating Five Star Stock requires separating price momentum from underlying operating strength versus competitors. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
HFWA	1.18	0.04	0.02	0.04	1.61	-1.22	2.41	-2.23	7.16
HBT	1.21	0.00	0.00	-0.01	1.63	-1.22	2.17	-2.82	5.82
CPF	0.99	0.06	0.04	0.08	1.45	-1.00	2.02	-1.96	6.58
BFST	1.11	-0.11	0.00	-0.13	0.00	0.00	2.20	-2.31	8.30
EFSC	1.08	0.02	0.01	0.02	1.70	-1.02	2.34	-2.66	7.63
HBNC	1.14	0.04	0.02	0.04	1.85	-1.10	2.45	-2.54	8.36
HAFC	1.17	0.17	0.10	0.18	1.55	-1.28	2.86	-2.18	11.10
MOFG	1.35	0.36	0.25	-7.22	1.11	-1.59	3.03	-2.28	13.04
CFFN	1.07	0.09	0.05	0.09	1.72	-1.08	2.01	-2.56	7.13
CCNE	1.14	0.12	0.07	0.15	1.61	-1.12	2.15	-2.94	8.52

Risk Metrics, Assumptions & Methodology

Drawdown depth for Five Star defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Historical price behavior shows relatively contained downside volatility compared to broader equities. Five Star has a market cap of 892.24 million, P/E of 7.8, ROE of 15.52%.

Five Star Bancorp metrics draw on periodic company reporting and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Vlad Skutelnik, Macroaxis Contributor

Volatility Profile Summary

Recent data suggests that Five Star Bancorp is more volatile than Dow Jones Industrial by approximately 1.41x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 11% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.

Five Star Bancorp with characteristics aligned to broad market upside participation. This directional read frames the latest price swing through a simple momentum and follow-through lens. It highlights whether the move looks ordinary, stressed, or unusually speculative for the instrument. a large bullish trend. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Five Star probability analysis.

Very poor diversification

For the present investment horizon, the measured correlation between Five Star and Dow Jones stands at 0.87, or Very poor diversification. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.

View Details

Additional Risk Indicators

Risk analysis around Five Star Bancorp gains depth when secondary indicators confirm, refine, or challenge the basic volatility picture. The practical goal is to identify how much risk is being accepted and whether that risk still fits the thesis.

	Risk Adjusted Performance	0.0345
	Market Risk Adjusted Performance	0.0517
	Mean Deviation	0.9732
	Semi Deviation	1.2
	Downside Deviation	1.24
	Coefficient Of Variation	3018.76
	Standard Deviation	1.29

Five Star Suggested Diversification Pairs

Pair analysis provides a framework for evaluating relative performance between Five Star Bancorp and comparable securities. The advantage is that adverse movement in one leg may be partly offset by the other when correlation and thesis alignment hold.

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	Dupont De vs. Five Star
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	Salesforce vs. Five Star

Pair diversification lowers aggregate risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the broad market - cannot be eliminated by pairing Five Star with another position. However, Five Star's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with Five Star Bancorp.

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