Correlation Between Astar and ICICI Bank
Can any of the company-specific risk be diversified away by investing in both Astar 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 Astar and ICICI Bank into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Astar and ICICI Bank Limited, you can compare the effects of market volatilities on Astar 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 Astar with a short position of ICICI Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of Astar and ICICI Bank.
Diversification Opportunities for Astar and ICICI Bank
0.3 | Correlation Coefficient |
Weak diversification
The 3 months correlation between Astar and ICICI is 0.3. Overlapping area represents the amount of risk that can be diversified away by holding Astar 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 Astar 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 Astar 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 Astar i.e., Astar and ICICI Bank go up and down completely randomly.
Pair Corralation between Astar and ICICI Bank
Assuming the 90 days trading horizon Astar is expected to generate 2.96 times more return on investment than ICICI Bank. However, Astar is 2.96 times more volatile than ICICI Bank Limited. It trades about 0.05 of its potential returns per unit of risk. ICICI Bank Limited is currently generating about -0.31 per unit of risk. If you would invest 6.20 in Astar on October 20, 2024 and sell it today you would earn a total of 0.16 from holding Astar or generate 2.58% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 77.27% |
| Values | Daily Returns |
Astar vs. ICICI Bank Limited
Performance |
| Timeline |
| Astar |
| ICICI Bank Limited |
Astar and ICICI Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Astar and ICICI Bank
The main advantage of trading using opposite Astar and ICICI Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Astar 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.The idea behind Astar and ICICI Bank 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.| ICICI Bank vs. China Merchants Bank | ICICI Bank vs. HDFC Bank Limited | ICICI Bank vs. PT Bank Central | ICICI Bank vs. DBS Group Holdings |
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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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