Correlation Between ICICI Bank and ITI
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By analyzing existing cross correlation between ICICI Bank Limited and ITI Limited, you can compare the effects of market volatilities on ICICI Bank and ITI 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 ITI. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and ITI.
Diversification Opportunities for ICICI Bank and ITI
0.39 | Correlation Coefficient |
Weak diversification
The 3 months correlation between ICICI and ITI is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and ITI Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ITI Limited 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 ITI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ITI Limited has no effect on the direction of ICICI Bank i.e., ICICI Bank and ITI go up and down completely randomly.
Pair Corralation between ICICI Bank and ITI
Assuming the 90 days trading horizon ICICI Bank is expected to generate 45.3 times less return on investment than ITI. But when comparing it to its historical volatility, ICICI Bank Limited is 5.35 times less risky than ITI. It trades about 0.02 of its potential returns per unit of risk. ITI Limited is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 24,595 in ITI Limited on October 9, 2024 and sell it today you would earn a total of 24,400 from holding ITI Limited or generate 99.21% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Very Weak |
Accuracy | 98.39% |
Values | Daily Returns |
ICICI Bank Limited vs. ITI Limited
Performance |
Timeline |
ICICI Bank Limited |
ITI Limited |
ICICI Bank and ITI Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ICICI Bank and ITI
The main advantage of trading using opposite ICICI Bank and ITI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, ITI 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 ITI will offset losses from the drop in ITI's long position.ICICI Bank vs. Fertilizers and Chemicals | ICICI Bank vs. Styrenix Performance Materials | ICICI Bank vs. Omkar Speciality Chemicals | ICICI Bank vs. Fortis Healthcare Limited |
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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 Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. Drill down to check world indexes.
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