Correlation Between Banco Macro and Bank First

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Can any of the company-specific risk be diversified away by investing in both Banco Macro and Bank First 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 Banco Macro and Bank First into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Banco Macro SA and Bank First National, you can compare the effects of market volatilities on Banco Macro and Bank First 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 Banco Macro with a short position of Bank First. Check out your portfolio center. Please also check ongoing floating volatility patterns of Banco Macro and Bank First.

Diversification Opportunities for Banco Macro and Bank First

-0.51
  Correlation Coefficient

Excellent diversification

The 3 months correlation between Banco and Bank First is -0.51. Overlapping area represents the amount of risk that can be diversified away by holding Banco Macro SA and Bank First National in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank First National and Banco Macro 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 Banco Macro SA are associated (or correlated) with Bank First. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank First National has no effect on the direction of Banco Macro i.e., Banco Macro and Bank First go up and down completely randomly.

Pair Corralation between Banco Macro and Bank First

Considering the 90-day investment horizon Banco Macro SA is expected to under-perform the Bank First. In addition to that, Banco Macro is 2.4 times more volatile than Bank First National. It trades about -0.02 of its total potential returns per unit of risk. Bank First National is currently generating about 0.04 per unit of volatility. If you would invest  6,854  in Bank First National on April 6, 2022 and sell it today you would earn a total of  842.00  from holding Bank First National or generate 12.28% return on investment over 90 days.
Time Period3 Months [change]
DirectionMoves Against 
StrengthVery Weak
Accuracy100.0%
ValuesDaily Returns

Banco Macro SA  vs.  Bank First National

 Performance (%) 
      Timeline 
Banco Macro SA 
Banco Performance
0 of 100
Over the last 90 days Banco Macro SA has generated negative risk-adjusted returns adding no value to investors with long positions. Despite weak performance in the last few months, the Stock's primary indicators remain somewhat strong which may send shares a bit higher in August 2022. The current disturbance may also be a sign of long term up-swing for the company investors.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0617
Payout Ratio
0.15
Forward Annual Dividend Rate
0.72
Dividend Date
2022-06-30
Ex Dividend Date
2022-06-03

Banco Price Channel

Bank First National 
Bank First Performance
8 of 100
Compared to the overall equity markets, risk-adjusted returns on investments in Bank First National are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak technical and fundamental indicators, Bank First may actually be approaching a critical reversion point that can send shares even higher in August 2022.

Structure and Payout Changes

Forward Annual Dividend Yield
0.0115
Payout Ratio
0.2
Last Split Factor
2:1
Forward Annual Dividend Rate
0.88
Dividend Date
2022-07-06
Ex Dividend Date
2022-06-21
Last Split Date
2002-10-21

Bank First Price Channel

Banco Macro and Bank First Volatility Contrast

 Predicted Return Density 
      Returns 

Pair Trading with Banco Macro and Bank First

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

Banco Macro SA

Pair trading matchups for Banco Macro

Chemocentryx vs. Banco Macro
Kimball Electrnc vs. Banco Macro
Bidvest vs. Banco Macro
Definitive Healthcare vs. Banco Macro
Otp Bank vs. Banco Macro
China Life vs. Banco Macro
Vmware vs. Banco Macro
Dupont Denemours vs. Banco Macro
Ultrashort MSCI vs. Banco Macro
Visa vs. Banco Macro
Twitter vs. Banco Macro
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Banco Macro as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Banco Macro's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Banco Macro's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Banco Macro SA.
The idea behind Banco Macro SA and Bank First National 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.

Bank First National

Pair trading matchups for Bank First

Microsoft Corp vs. Bank First
China Life vs. Bank First
Ollies Bargain vs. Bank First
Kura Oncology vs. Bank First
Ultrashort MSCI vs. Bank First
Cansino Biologics vs. Bank First
Chemocentryx vs. Bank First
Kimball Electrnc vs. Bank First
Vmware vs. Bank First
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Bank First as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Bank First's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Bank First's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Bank First National.
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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.

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