Correlation Between ICICI Bank and Jefferies Financial
Can any of the company-specific risk be diversified away by investing in both ICICI Bank and Jefferies Financial 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 Jefferies Financial 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 Jefferies Financial Group, you can compare the effects of market volatilities on ICICI Bank and Jefferies Financial 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 Jefferies Financial. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and Jefferies Financial.
Diversification Opportunities for ICICI Bank and Jefferies Financial
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ICICI and Jefferies is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and Jefferies Financial Group in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Jefferies 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 Jefferies Financial. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Jefferies Financial has no effect on the direction of ICICI Bank i.e., ICICI Bank and Jefferies Financial go up and down completely randomly.
Pair Corralation between ICICI Bank and Jefferies Financial
Assuming the 90 days trading horizon ICICI Bank is expected to generate 9.73 times less return on investment than Jefferies Financial. But when comparing it to its historical volatility, ICICI Bank Limited is 1.74 times less risky than Jefferies Financial. It trades about 0.02 of its potential returns per unit of risk. Jefferies Financial Group is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest 33,034 in Jefferies Financial Group on November 2, 2024 and sell it today you would earn a total of 12,114 from holding Jefferies Financial Group or generate 36.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ICICI Bank Limited vs. Jefferies Financial Group
Performance |
| Timeline |
| ICICI Bank Limited |
| Jefferies Financial |
ICICI Bank and Jefferies Financial Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Bank and Jefferies Financial
The main advantage of trading using opposite ICICI Bank and Jefferies Financial positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, Jefferies Financial 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 Jefferies Financial will offset losses from the drop in Jefferies Financial's long position.| ICICI Bank vs. Taiwan Semiconductor Manufacturing | ICICI Bank vs. Apple Inc | ICICI Bank vs. Alibaba Group Holding | ICICI Bank vs. Microsoft |
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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 Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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