Correlation Between Deutsche Bank and First Citizens

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

By analyzing existing cross correlation between Deutsche Bank AG and First Citizens BancShares, you can compare the effects of market volatilities on Deutsche Bank 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 Deutsche Bank with a short position of First Citizens. Check out your portfolio center. Please also check ongoing floating volatility patterns of Deutsche Bank and First Citizens.

Diversification Opportunities for Deutsche Bank and First Citizens

0.68

Correlation Coefficient

Deutsche Bank  First Citizens

Poor diversification

The 3 months correlation between Deutsche and First is 0.68. Overlapping area represents the amount of risk that can be diversified away by holding Deutsche Bank AG 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 Deutsche Bank 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 Deutsche Bank AG 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 Deutsche Bank i.e., Deutsche Bank and First Citizens go up and down completely randomly.

Pair Corralation between Deutsche Bank and First Citizens

Allowing for the 90-day total investment horizon Deutsche Bank is expected to generate 1.19 times less return on investment than First Citizens. In addition to that, Deutsche Bank is 1.57 times more volatile than First Citizens BancShares. It trades about 0.07 of its total potential returns per unit of risk. First Citizens BancShares is currently generating about 0.12 per unit of volatility. If you would invest  2,192  in First Citizens BancShares on September 2, 2024 and sell it today you would earn a total of  198.00  from holding First Citizens BancShares or generate 9.03% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

Deutsche Bank AG  vs.  First Citizens BancShares

Deutsche Bank AG

Risk-Adjusted Performance

5 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in Deutsche Bank AG are ranked lower than 5 (%) of all global equities and portfolios over the last 90 days. Despite somewhat unsteady fundamental drivers, Deutsche Bank may actually be approaching a critical reversion point that can send shares even higher in January 2025.

First Citizens BancShares

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in First Citizens BancShares are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. Even with relatively unfluctuating fundamental indicators, First Citizens may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Deutsche Bank and First Citizens

The main advantage of trading using opposite Deutsche Bank and First Citizens positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Deutsche Bank 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.

The idea behind Deutsche Bank AG and First Citizens BancShares 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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.