Correlation Between ICICI Bank and Bank Hapoalim
Can any of the company-specific risk be diversified away by investing in both ICICI Bank and Bank Hapoalim 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 Bank Hapoalim 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 Bank Hapoalim ADR, you can compare the effects of market volatilities on ICICI Bank and Bank Hapoalim 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 Bank Hapoalim. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and Bank Hapoalim.
Diversification Opportunities for ICICI Bank and Bank Hapoalim
-0.65 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ICICI and Bank is -0.65. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and Bank Hapoalim ADR in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Bank Hapoalim ADR 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 Bank Hapoalim. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bank Hapoalim ADR has no effect on the direction of ICICI Bank i.e., ICICI Bank and Bank Hapoalim go up and down completely randomly.
Pair Corralation between ICICI Bank and Bank Hapoalim
Considering the 90-day investment horizon ICICI Bank Limited is expected to under-perform the Bank Hapoalim. But the stock apears to be less risky and, when comparing its historical volatility, ICICI Bank Limited is 1.98 times less risky than Bank Hapoalim. The stock trades about -0.15 of its potential returns per unit of risk. The Bank Hapoalim ADR is currently generating about -0.04 of returns per unit of risk over similar time horizon. If you would invest 6,835 in Bank Hapoalim ADR on December 8, 2024 and sell it today you would lose (182.00) from holding Bank Hapoalim ADR or give up 2.66% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ICICI Bank Limited vs. Bank Hapoalim ADR
Performance |
| Timeline |
| ICICI Bank Limited |
| Bank Hapoalim ADR |
ICICI Bank and Bank Hapoalim Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Bank and Bank Hapoalim
The main advantage of trading using opposite ICICI Bank and Bank Hapoalim positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, Bank Hapoalim 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 Bank Hapoalim will offset losses from the drop in Bank Hapoalim's long position.| ICICI Bank vs. US Bancorp | ||
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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 Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
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