HDFC Bank Correlations

HDB Stock

USD 67.50 0.85 1.28%

The current 90-days correlation between HDFC Bank Limited and US Bancorp is 0.32 (i.e., Weak diversification). The correlation of HDFC Bank 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.

HDFC Bank Correlation With Market

Weak diversification

The correlation between HDFC Bank Limited and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding HDFC Bank Limited and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in HDFC Bank Limited. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with HDFC Stock

0.64

BANC-PF

Banc of California

Pair Corr

Moving against HDFC Stock

0.42	FRCIL	First Republic Bank	Pair Corr
0.39	FRCHL	First Republic Bank	Pair Corr
0.38	FRCCL	First Republic Bank	Pair Corr
0.38	FRCKL	First Republic Bank	Pair Corr
0.37	FRCLL	First Republic Bank	Pair Corr

Related Correlations Analysis

	USB-PH	BSBR	SHG	FBP	USB-PP	KEY-PI	KEY-PK	USB-PA	KEY-PJ
USB-PH		-0.9	-0.66	0.02	0.35	0.32	0.84	0.82	0.76	USB-PH
BSBR	-0.9		0.81	-0.05	-0.13	-0.15	-0.78	-0.69	-0.71	BSBR
SHG	-0.66	0.81		0.19	-0.02	-0.02	-0.49	-0.45	-0.46	SHG
FBP	0.02	-0.05	0.19		-0.12	-0.11	0.1	-0.06	0.15	FBP
USB-PP	0.35	-0.13	-0.02	-0.12		0.65	0.56	0.6	0.56	USB-PP
KEY-PI	0.32	-0.15	-0.02	-0.11	0.65		0.57	0.46	0.6	KEY-PI
KEY-PK	0.84	-0.78	-0.49	0.1	0.56	0.57		0.82	0.94	KEY-PK
USB-PA	0.82	-0.69	-0.45	-0.06	0.6	0.46	0.82		0.72	USB-PA
KEY-PJ	0.76	-0.71	-0.46	0.15	0.56	0.6	0.94	0.72		KEY-PJ
	USB-PH	BSBR	SHG	FBP	USB-PP	KEY-PI	KEY-PK	USB-PA	KEY-PJ

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

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

KEY-PJ	+ 0.94	KEY-PK
KEY-PK	+ 0.84	USB-PH
USB-PA	+ 0.82	USB-PH
USB-PA	+ 0.82	KEY-PK
SHG	+ 0.81	BSBR
KEY-PJ	+ 0.76	USB-PH

High negative correlations

BSBR	- 0.9	USB-PH
KEY-PK	- 0.78	BSBR
KEY-PJ	- 0.71	BSBR
USB-PA	- 0.69	BSBR
SHG	- 0.66	USB-PH
KEY-PK	- 0.49	SHG

Risk-Adjusted Indicators

There is a big difference between HDFC Stock performing well and HDFC Bank 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 HDFC Bank'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
USB-PH	0.30	0.07	(0.10)	3.50	0.27	(0.35)	0.77	(0.57)	2.05
BSBR	1.21	(0.44)	0.00	(0.67)	0.00	0.00	1.79	(3.46)	6.57
SHG	1.61	(0.26)	0.00	(0.16)	0.00	0.00	3.28	(3.84)	13.76
FBP	1.58	(0.24)	(0.04)	0.01	2.16	(1.62)	2.85	(3.55)	19.73
USB-PP	0.39	0.02	(0.20)	(14.19)	0.43	(0.44)	0.88	(0.91)	2.46
KEY-PI	0.55	0.01	(0.14)	0.17	0.65	(0.62)	1.40	(1.02)	4.04
KEY-PK	0.69	0.06	(0.03)	0.40	0.88	(0.68)	1.30	(1.60)	3.61
USB-PA	0.38	0.03	(0.10)	0.38	0.49	(0.45)	0.85	(0.80)	3.54
KEY-PJ	0.62	0.04	(0.05)	0.29	0.79	(0.64)	1.13	(1.29)	3.35

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC