Correlation Between ACNB and Byline Bancorp
Can any of the company-specific risk be diversified away by investing in both ACNB and Byline 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 ACNB and Byline Bancorp into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ACNB Corporation and Byline Bancorp, you can compare the effects of market volatilities on ACNB and Byline 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 ACNB with a short position of Byline Bancorp. Check out your portfolio center. Please also check ongoing floating volatility patterns of ACNB and Byline Bancorp.
Diversification Opportunities for ACNB and Byline Bancorp
0.94 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ACNB and Byline is 0.94. Overlapping area represents the amount of risk that can be diversified away by holding ACNB Corp. and Byline Bancorp in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Byline Bancorp and ACNB 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 ACNB Corporation are associated (or correlated) with Byline Bancorp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Byline Bancorp has no effect on the direction of ACNB i.e., ACNB and Byline Bancorp go up and down completely randomly.
Pair Corralation between ACNB and Byline Bancorp
Given the investment horizon of 90 days ACNB Corporation is expected to under-perform the Byline Bancorp. In addition to that, ACNB is 1.26 times more volatile than Byline Bancorp. It trades about -0.25 of its total potential returns per unit of risk. Byline Bancorp is currently generating about 0.0 per unit of volatility. If you would invest 2,085 in Byline Bancorp on January 20, 2024 and sell it today you would lose (13.00) from holding Byline Bancorp or give up 0.62% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
ACNB Corp. vs. Byline Bancorp
Performance |
| Timeline |
| ACNB |
| Byline Bancorp |
ACNB and Byline Bancorp Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ACNB and Byline Bancorp
The main advantage of trading using opposite ACNB and Byline Bancorp positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ACNB position performs unexpectedly, Byline 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 Byline Bancorp will offset losses from the drop in Byline Bancorp's long position.The idea behind ACNB Corporation and Byline Bancorp 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.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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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