Correlation Between ICICI Bank and PTC India
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By analyzing existing cross correlation between ICICI Bank Limited and PTC India Financial, you can compare the effects of market volatilities on ICICI Bank and PTC India 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 PTC India. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and PTC India.
Diversification Opportunities for ICICI Bank and PTC India
-0.15 | Correlation Coefficient |
Good diversification
The 3 months correlation between ICICI and PTC is -0.15. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and PTC India Financial in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PTC India Financial 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 PTC India. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PTC India Financial has no effect on the direction of ICICI Bank i.e., ICICI Bank and PTC India go up and down completely randomly.
Pair Corralation between ICICI Bank and PTC India
Assuming the 90 days trading horizon ICICI Bank Limited is expected to under-perform the PTC India. But the stock apears to be less risky and, when comparing its historical volatility, ICICI Bank Limited is 3.05 times less risky than PTC India. The stock trades about -0.11 of its potential returns per unit of risk. The PTC India Financial is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 4,386 in PTC India Financial on October 5, 2024 and sell it today you would lose (63.00) from holding PTC India Financial or give up 1.44% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
ICICI Bank Limited vs. PTC India Financial
Performance |
Timeline |
ICICI Bank Limited |
PTC India Financial |
ICICI Bank and PTC India Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ICICI Bank and PTC India
The main advantage of trading using opposite ICICI Bank and PTC India positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, PTC India 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 PTC India will offset losses from the drop in PTC India's long position.ICICI Bank vs. KIOCL Limited | ICICI Bank vs. Spentex Industries Limited | ICICI Bank vs. Indo Borax Chemicals | ICICI Bank vs. Kingfa Science Technology |
PTC India vs. KIOCL Limited | PTC India vs. Spentex Industries Limited | PTC India vs. Indo Borax Chemicals | PTC India vs. Kingfa Science Technology |
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
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