First Citizens Bancshares Preferred Stock Market Value
| FCNCP Preferred Stock | USD 23.51 0.03 0.13% |
| Symbol | First |
First Citizens 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to First Citizens' preferred stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of First Citizens.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in First Citizens on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding First Citizens BancShares or generate 0.0% return on investment in First Citizens over 30 days. First Citizens is related to or competes with Fifth Third, Dime Community, Fifth Third, Northern Trust, and Fulton Financial. First Citizens BancShares, Inc. operates as the holding company for First-Citizens Bank Trust Company that provides reta... More
First Citizens Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure First Citizens' preferred stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess First Citizens BancShares upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 7.09 | |||
| Value At Risk | (1.70) | |||
| Potential Upside | 1.6 |
First Citizens Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for First Citizens' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as First Citizens' standard deviation. In reality, there are many statistical measures that can use First Citizens historical prices to predict the future First Citizens' volatility.| Risk Adjusted Performance | 0.0487 | |||
| Jensen Alpha | 0.0228 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1991 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of First Citizens' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
First Citizens BancShares Backtested Returns
Currently, First Citizens BancShares is very steady. First Citizens BancShares secures Sharpe Ratio (or Efficiency) of 0.0872, which denotes the company had a 0.0872% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for First Citizens BancShares, which you can use to evaluate the volatility of the firm. Please confirm First Citizens' Mean Deviation of 0.7662, downside deviation of 1.18, and Coefficient Of Variation of 1670.31 to check if the risk estimate we provide is consistent with the expected return of 0.0939%. First Citizens has a performance score of 6 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.27, which means not very significant fluctuations relative to the market. As returns on the market increase, First Citizens' returns are expected to increase less than the market. However, during the bear market, the loss of holding First Citizens is expected to be smaller as well. First Citizens BancShares right now shows a risk of 1.08%. Please confirm First Citizens BancShares value at risk, as well as the relationship between the skewness and day median price , to decide if First Citizens BancShares will be following its price patterns.
Auto-correlation | -0.53 |
Good reverse predictability
First Citizens BancShares has good reverse predictability. Overlapping area represents the amount of predictability between First Citizens time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of First Citizens BancShares price movement. The serial correlation of -0.53 indicates that about 53.0% of current First Citizens price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
First Citizens BancShares lagged returns against current returns
Autocorrelation, which is First Citizens preferred stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting First Citizens' preferred stock expected returns. We can calculate the autocorrelation of First Citizens returns to help us make a trade decision. For example, suppose you find that First Citizens has exhibited high autocorrelation historically, and you observe that the preferred stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
First Citizens regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If First Citizens preferred stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if First Citizens preferred stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in First Citizens preferred stock over time.
Current vs Lagged Prices |
| Timeline |
First Citizens Lagged Returns
When evaluating First Citizens' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of First Citizens preferred stock have on its future price. First Citizens autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, First Citizens autocorrelation shows the relationship between First Citizens preferred stock current value and its past values and can show if there is a momentum factor associated with investing in First Citizens BancShares.
Regressed Prices |
| Timeline |
Pair Trading with First Citizens
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if First Citizens position performs unexpectedly, the other equity 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 appreciate offsetting losses from the drop in the long position's value.Moving together with First Preferred Stock
The ability to find closely correlated positions to First Citizens could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace First Citizens when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back First Citizens - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling First Citizens BancShares to buy it.
The correlation of First Citizens is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as First Citizens moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if First Citizens BancShares moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for First Citizens can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for First Preferred Stock Analysis
When running First Citizens' price analysis, check to measure First Citizens' market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy First Citizens is operating at the current time. Most of First Citizens' value examination focuses on studying past and present price action to predict the probability of First Citizens' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move First Citizens' price. Additionally, you may evaluate how the addition of First Citizens to your portfolios can decrease your overall portfolio volatility.