Correlation Between ICICI Bank and Larsen Toubro
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By analyzing existing cross correlation between ICICI Bank Limited and Larsen Toubro Limited, you can compare the effects of market volatilities on ICICI Bank and Larsen Toubro 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 Larsen Toubro. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and Larsen Toubro.
Diversification Opportunities for ICICI Bank and Larsen Toubro
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ICICI and Larsen is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and Larsen Toubro Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Larsen Toubro Limited 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 Larsen Toubro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Larsen Toubro Limited has no effect on the direction of ICICI Bank i.e., ICICI Bank and Larsen Toubro go up and down completely randomly.
Pair Corralation between ICICI Bank and Larsen Toubro
Assuming the 90 days trading horizon ICICI Bank Limited is expected to generate 0.7 times more return on investment than Larsen Toubro. However, ICICI Bank Limited is 1.42 times less risky than Larsen Toubro. It trades about 0.04 of its potential returns per unit of risk. Larsen Toubro Limited is currently generating about -0.01 per unit of risk. If you would invest 127,395 in ICICI Bank Limited on September 29, 2024 and sell it today you would earn a total of 3,360 from holding ICICI Bank Limited or generate 2.64% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Significant |
Accuracy | 98.39% |
Values | Daily Returns |
ICICI Bank Limited vs. Larsen Toubro Limited
Performance |
Timeline |
ICICI Bank Limited |
Larsen Toubro Limited |
ICICI Bank and Larsen Toubro Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with ICICI Bank and Larsen Toubro
The main advantage of trading using opposite ICICI Bank and Larsen Toubro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, Larsen Toubro 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 Larsen Toubro will offset losses from the drop in Larsen Toubro's long position.ICICI Bank vs. Kingfa Science Technology | ||
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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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
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