Correlation Between ICICI Bank and Global Health

Can any of the company-specific risk be diversified away by investing in both ICICI Bank and Global Health 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 Global Health 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 Global Health Limited, you can compare the effects of market volatilities on ICICI Bank and Global Health 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 Global Health. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and Global Health.

Diversification Opportunities for ICICI Bank and Global Health

0.36

Correlation Coefficient

ICICI Bank  Global Health

Weak diversification

The 3 months correlation between ICICI and Global is 0.36. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and Global Health Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Global Health 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 Global Health. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Global Health Limited has no effect on the direction of ICICI Bank i.e., ICICI Bank and Global Health go up and down completely randomly.

Pair Corralation between ICICI Bank and Global Health

Assuming the 90 days trading horizon ICICI Bank Limited is expected to generate 0.71 times more return on investment than Global Health. However, ICICI Bank Limited is 1.4 times less risky than Global Health. It trades about 0.08 of its potential returns per unit of risk. Global Health Limited is currently generating about 0.01 per unit of risk. If you would invest  124,850  in ICICI Bank Limited on September 13, 2024 and sell it today you would earn a total of  7,900  from holding ICICI Bank Limited or generate 6.33% 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.  Global Health Limited

ICICI Bank Limited

Risk-Adjusted Performance

6 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in ICICI Bank Limited are ranked lower than 6 (%) of all global equities and portfolios over the last 90 days. Despite somewhat unsteady basic indicators, ICICI Bank may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Global Health Limited

Risk-Adjusted Performance

0 of 100

Weak

Over the last 90 days Global Health Limited has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong basic indicators, Global Health is not utilizing all of its potentials. The latest stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with ICICI Bank and Global Health

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

The idea behind ICICI Bank Limited and Global Health Limited 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.

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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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.