Correlation Between ICICI Bank and BancFirst
Can any of the company-specific risk be diversified away by investing in both ICICI Bank and BancFirst 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 BancFirst 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 BancFirst, you can compare the effects of market volatilities on ICICI Bank and BancFirst 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 BancFirst. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and BancFirst.
Diversification Opportunities for ICICI Bank and BancFirst
-0.63 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between ICICI and BancFirst is -0.63. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and BancFirst in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on BancFirst 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 BancFirst. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of BancFirst has no effect on the direction of ICICI Bank i.e., ICICI Bank and BancFirst go up and down completely randomly.
Pair Corralation between ICICI Bank and BancFirst
Considering the 90-day investment horizon ICICI Bank Limited is expected to generate 0.56 times more return on investment than BancFirst. However, ICICI Bank Limited is 1.77 times less risky than BancFirst. It trades about 0.08 of its potential returns per unit of risk. BancFirst is currently generating about 0.02 per unit of risk. If you would invest 2,558 in ICICI Bank Limited on December 29, 2023 and sell it today you would earn a total of 39.00 from holding ICICI Bank Limited or generate 1.52% 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. BancFirst
Performance |
Timeline |
ICICI Bank Limited |
BancFirst |
ICICI Bank and BancFirst Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ICICI Bank and BancFirst
The main advantage of trading using opposite ICICI Bank and BancFirst positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, BancFirst 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 BancFirst will offset losses from the drop in BancFirst's long position.ICICI Bank vs. Middlefield Banc | ICICI Bank vs. Merchants Bancorp | ICICI Bank vs. Mercantile Bank | ICICI Bank vs. MetroCity Bankshares |
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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 Top Crypto Exchanges module to search and analyze digital assets across top global cryptocurrency exchanges.
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