Correlation Between Itau Unibanco and ICICI Bank
Can any of the company-specific risk be diversified away by investing in both Itau Unibanco and ICICI Bank 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 Itau Unibanco and ICICI Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Itau Unibanco Banco and ICICI Bank Limited, you can compare the effects of market volatilities on Itau Unibanco and ICICI Bank 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 Itau Unibanco with a short position of ICICI Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Itau Unibanco and ICICI Bank.
Diversification Opportunities for Itau Unibanco and ICICI Bank
-0.34 | Correlation Coefficient |
Very good diversification
The 3 months correlation between Itau and ICICI is -0.34. Overlapping area represents the amount of risk that can be diversified away by holding Itau Unibanco Banco and ICICI Bank Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICICI Bank Limited and Itau Unibanco 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 Itau Unibanco Banco are associated (or correlated) with ICICI Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICICI Bank Limited has no effect on the direction of Itau Unibanco i.e., Itau Unibanco and ICICI Bank go up and down completely randomly.
Pair Corralation between Itau Unibanco and ICICI Bank
Given the investment horizon of 90 days Itau Unibanco Banco is expected to under-perform the ICICI Bank. In addition to that, Itau Unibanco is 1.94 times more volatile than ICICI Bank Limited. It trades about -0.34 of its total potential returns per unit of risk. ICICI Bank Limited is currently generating about -0.05 per unit of volatility. If you would invest 3,101 in ICICI Bank Limited on September 27, 2024 and sell it today you would lose (49.00) from holding ICICI Bank Limited or give up 1.58% of portfolio value over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
Itau Unibanco Banco vs. ICICI Bank Limited
Performance |
Timeline |
Itau Unibanco Banco |
ICICI Bank Limited |
Itau Unibanco and ICICI Bank Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with Itau Unibanco and ICICI Bank
The main advantage of trading using opposite Itau Unibanco and ICICI Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Itau Unibanco position performs unexpectedly, ICICI Bank 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 ICICI Bank will offset losses from the drop in ICICI Bank's long position.Itau Unibanco vs. Grupo Financiero Galicia | Itau Unibanco vs. Banco Macro SA | Itau Unibanco vs. Banco Santander Brasil | Itau Unibanco vs. Lloyds Banking Group |
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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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