Bank of America Correlations

BAC Stock

USD 41.49 0.24 0.58%

The current 90-days correlation between Bank of America and PJT Partners is 0.54 (i.e., Very weak diversification). The correlation of Bank of America 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

Bank of America Correlation With Market

Poor diversification

The correlation between Bank of America and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Bank of America and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Bank of America. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in nation.

For information on how to trade Bank Stock refer to our How to Trade Bank Stock guide.

Moving together with Bank Stock

0.81	C	Citigroup	Pair Corr
0.86	CM	Canadian Imperial Bank	Pair Corr
0.87	RY	Royal Bank	Pair Corr
0.69	BML-PL	Bank of America	Pair Corr
0.74	BNS	Bank of Nova Scotia	Pair Corr
0.79	JPM	JPMorgan Chase	Pair Corr
0.76	WFC	Wells Fargo	Pair Corr
0.67	BAC-PE	Bank of America	Pair Corr

Moving against Bank Stock

0.77	ING	ING Group NV	Pair Corr
0.44	BCS	Barclays PLC ADR	Pair Corr
0.61	SAN	Banco Santander SA	Pair Corr
0.61	HSBC	HSBC Holdings PLC	Pair Corr
0.61	BBVA	Banco Bilbao Viscaya	Pair Corr
0.48	MUFG	Mitsubishi UFJ Financial	Pair Corr
0.45	SMFG	Sumitomo Mitsui Financial	Pair Corr

Related Correlations Analysis

	PJT	NBHC	FBK	NRIM	EIG
PJT		0.85	0.88	0.88	-0.35	PJT
NBHC	0.85		0.9	0.65	-0.2	NBHC
FBK	0.88	0.9		0.74	-0.13	FBK
NRIM	0.88	0.65	0.74		-0.17	NRIM
EIG	-0.35	-0.2	-0.13	-0.17		EIG
	PJT	NBHC	FBK	NRIM	EIG

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

FBK	+ 0.9	NBHC
FBK	+ 0.88	PJT
NRIM	+ 0.88	PJT
NBHC	+ 0.85	PJT
NRIM	+ 0.74	FBK
NRIM	+ 0.65	NBHC

High negative correlations

EIG	- 0.35	PJT
EIG	- 0.2	NBHC
EIG	- 0.17	NRIM
EIG	- 0.13	FBK

Risk-Adjusted Indicators

There is a big difference between Bank Stock performing well and Bank of America Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Bank of America's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
PJT	1.59	(0.10)	0.00	(0.13)	0.00	0.00	3.33	(2.82)	11.57
NBHC	1.05	(0.13)	0.00	(0.18)	0.00	0.00	2.03	(2.84)	6.80
FBK	1.26	(0.16)	0.00	4.37	0.00	0.00	2.22	(2.93)	8.42
NRIM	1.57	(0.01)	0.00	(0.06)	0.00	0.00	2.67	(2.99)	9.90
EIG	0.92	0.00	0.05	(0.06)	1.16	(0.94)	1.97	(2.11)	5.62

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