Correlation Between ICICI Bank and PT Bank
Can any of the company-specific risk be diversified away by investing in both ICICI Bank and PT 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 ICICI Bank and PT Bank 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 PT Bank Rakyat, you can compare the effects of market volatilities on ICICI Bank and PT 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 ICICI Bank with a short position of PT Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and PT Bank.
Diversification Opportunities for ICICI Bank and PT Bank
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ICICI and BYRA is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and PT Bank Rakyat in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on PT Bank Rakyat 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 PT Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of PT Bank Rakyat has no effect on the direction of ICICI Bank i.e., ICICI Bank and PT Bank go up and down completely randomly.
Pair Corralation between ICICI Bank and PT Bank
Assuming the 90 days trading horizon ICICI Bank Limited is expected to generate 0.3 times more return on investment than PT Bank. However, ICICI Bank Limited is 3.29 times less risky than PT Bank. It trades about 0.07 of its potential returns per unit of risk. PT Bank Rakyat is currently generating about 0.01 per unit of risk. If you would invest 2,239 in ICICI Bank Limited on September 12, 2024 and sell it today you would earn a total of 701.00 from holding ICICI Bank Limited or generate 31.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
ICICI Bank Limited vs. PT Bank Rakyat
Performance |
| Timeline |
| ICICI Bank Limited |
| PT Bank Rakyat |
ICICI Bank and PT Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Bank and PT Bank
The main advantage of trading using opposite ICICI Bank and PT Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, PT 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 PT Bank will offset losses from the drop in PT Bank's long position.| ICICI Bank vs. Zijin Mining Group | ICICI Bank vs. Eastman Chemical | ICICI Bank vs. TIANDE CHEMICAL | ICICI Bank vs. Silicon Motion Technology |
| PT Bank vs. China Merchants Bank | PT Bank vs. HDFC Bank Limited | PT Bank vs. ICICI Bank Limited | PT Bank vs. PT Bank Central |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
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