Correlation Between BancFirst and Auburn National

Can any of the company-specific risk be diversified away by investing in both BancFirst and Auburn 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 BancFirst and Auburn National into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between BancFirst and Auburn National Bancorporation, you can compare the effects of market volatilities on BancFirst and Auburn 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 BancFirst with a short position of Auburn National. Check out your portfolio center. Please also check ongoing floating volatility patterns of BancFirst and Auburn National.

Diversification Opportunities for BancFirst and Auburn National

0.2

Correlation Coefficient

BancFirst  Auburn National

Modest diversification

The 3 months correlation between BancFirst and Auburn is 0.2. Overlapping area represents the amount of risk that can be diversified away by holding BancFirst and Auburn National Bancorp. in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Auburn National Banc and BancFirst 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 BancFirst are associated (or correlated) with Auburn National. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Auburn National Banc has no effect on the direction of BancFirst i.e., BancFirst and Auburn National go up and down completely randomly.

Pair Corralation between BancFirst and Auburn National

Given the investment horizon of 90 days BancFirst is expected to generate 1.0 times more return on investment than Auburn National. However, BancFirst is 1.0 times more volatile than Auburn National Bancorporation. It trades about 0.04 of its potential returns per unit of risk. Auburn National Bancorporation is currently generating about 0.01 per unit of risk. If you would invest  8,743  in BancFirst on November 20, 2024 and sell it today you would earn a total of  3,201  from holding BancFirst or generate 36.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Very Weak
Accuracy	97.98%
Values	Daily Returns

BancFirst  vs.  Auburn National Bancorp.

BancFirst

Risk-Adjusted Performance

Very Weak

Over the last 90 days BancFirst has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, BancFirst is not utilizing all of its potentials. The recent stock price disturbance, may contribute to mid-run losses for the stockholders.

Auburn National Banc

Risk-Adjusted Performance

Very Weak

Over the last 90 days Auburn National Bancorporation has generated negative risk-adjusted returns adding no value to investors with long positions. In spite of very healthy fundamental drivers, Auburn National is not utilizing all of its potentials. The latest stock price disarray, may contribute to short-term losses for the investors.

Pair Trading with BancFirst and Auburn National

The main advantage of trading using opposite BancFirst and Auburn National positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if BancFirst position performs unexpectedly, Auburn 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 Auburn National will offset losses from the drop in Auburn National's long position.

The idea behind BancFirst and Auburn National Bancorporation pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.