ICICI Bank (India) Market Value
| ICICIBANK | 1,286 14.90 1.15% |
| Symbol | ICICI |
ICICI Bank 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to ICICI Bank's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of ICICI Bank.
| 06/01/2024 |
| 11/28/2024 |
If you would invest 0.00 in ICICI Bank on June 1, 2024 and sell it all today you would earn a total of 0.00 from holding ICICI Bank Limited or generate 0.0% return on investment in ICICI Bank over 180 days. ICICI Bank is related to or competes with Computer Age, FCS Software, Parag Milk, Hindustan Foods, Newgen Software, and Univa Foods. ICICI Bank is entity of India. It is traded as Stock on NSE exchange. More
ICICI Bank Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure ICICI Bank's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess ICICI Bank Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.25 | |||
| Information Ratio | (0.0003) | |||
| Maximum Drawdown | 6.92 | |||
| Value At Risk | (1.93) | |||
| Potential Upside | 2.76 |
ICICI Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ICICI Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ICICI Bank's standard deviation. In reality, there are many statistical measures that can use ICICI Bank historical prices to predict the future ICICI Bank's volatility.| Risk Adjusted Performance | 0.0765 | |||
| Jensen Alpha | 0.1168 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.0003) | |||
| Treynor Ratio | (7.32) |
ICICI Bank Limited Backtested Returns
At this point, ICICI Bank is very steady. ICICI Bank Limited holds Efficiency (Sharpe) Ratio of 0.0575, which attests that the company had a 0.0575% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for ICICI Bank Limited, which you can use to evaluate the volatility of the entity. Please check out ICICI Bank's semi deviation of 1.06, and Downside Deviation of 1.25 to validate if the risk estimate we provide is consistent with the expected return of 0.0788%. ICICI Bank has a performance score of 4 on a scale of 0 to 100. The firm retains a Market Volatility (i.e., Beta) of -0.0157, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning ICICI Bank are expected to decrease at a much lower rate. During the bear market, ICICI Bank is likely to outperform the market. ICICI Bank Limited at this time retains a risk of 1.37%. Please check out ICICI Bank jensen alpha, potential upside, accumulation distribution, as well as the relationship between the treynor ratio and expected short fall , to decide if ICICI Bank will be following its current trending patterns.
Auto-correlation | 0.25 |
Poor predictability
ICICI Bank Limited has poor predictability. Overlapping area represents the amount of predictability between ICICI Bank time series from 1st of June 2024 to 30th of August 2024 and 30th of August 2024 to 28th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ICICI Bank Limited price movement. The serial correlation of 0.25 indicates that over 25.0% of current ICICI Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 956.39 |
ICICI Bank Limited lagged returns against current returns
Autocorrelation, which is ICICI Bank stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting ICICI Bank's stock expected returns. We can calculate the autocorrelation of ICICI Bank returns to help us make a trade decision. For example, suppose you find that ICICI Bank has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
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ICICI Bank regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If ICICI Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ICICI Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ICICI Bank stock over time.
Current vs Lagged Prices |
| Timeline |
ICICI Bank Lagged Returns
When evaluating ICICI Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ICICI Bank stock have on its future price. ICICI Bank autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, ICICI Bank autocorrelation shows the relationship between ICICI Bank stock current value and its past values and can show if there is a momentum factor associated with investing in ICICI Bank Limited.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.When determining whether ICICI Bank Limited offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of ICICI Bank's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Icici Bank Limited Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Icici Bank Limited Stock:Check out ICICI Bank Correlation, ICICI Bank Volatility and ICICI Bank Alpha and Beta module to complement your research on ICICI Bank. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.
ICICI Bank technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.