Correlation Between ICICI Bank and NYSE Composite
Can any of the company-specific risk be diversified away by investing in both ICICI Bank and NYSE Composite 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 ICICI Bank and NYSE Composite into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between ICICI Bank Limited and NYSE Composite, you can compare the effects of market volatilities on ICICI Bank and NYSE Composite 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 ICICI Bank with a short position of NYSE Composite. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and NYSE Composite.
Diversification Opportunities for ICICI Bank and NYSE Composite
0.73 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ICICI and NYSE is 0.73. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and NYSE Composite in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NYSE Composite and ICICI 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 ICICI Bank Limited are associated (or correlated) with NYSE Composite. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NYSE Composite has no effect on the direction of ICICI Bank i.e., ICICI Bank and NYSE Composite go up and down completely randomly.
Pair Corralation between ICICI Bank and NYSE Composite
Considering the 90-day investment horizon ICICI Bank Limited is expected to generate 1.64 times more return on investment than NYSE Composite. However, ICICI Bank is 1.64 times more volatile than NYSE Composite. It trades about 0.1 of its potential returns per unit of risk. NYSE Composite is currently generating about -0.03 per unit of risk. If you would invest 2,640 in ICICI Bank Limited on February 2, 2024 and sell it today you would earn a total of 115.00 from holding ICICI Bank Limited or generate 4.36% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 100.0% |
Values | Daily Returns |
ICICI Bank Limited vs. NYSE Composite
Performance |
Timeline |
ICICI Bank and NYSE Composite Volatility Contrast
Predicted Return Density |
Returns |
ICICI Bank Limited
Pair trading matchups for ICICI Bank
NYSE Composite
Pair trading matchups for NYSE Composite
Pair Trading with ICICI Bank and NYSE Composite
The main advantage of trading using opposite ICICI Bank and NYSE Composite positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, NYSE Composite 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 NYSE Composite will offset losses from the drop in NYSE Composite's long position.ICICI Bank vs. US Bancorp | ICICI Bank vs. US Bancorp | ICICI Bank vs. KB Financial Group | ICICI Bank vs. Itau Unibanco Banco |
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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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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