HDFC Bank vs ICICI Bank (HDFCBANK vs ICICIBANK) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: HDFCBANK or ICICIBANK?

Over the past year, ICICIBANK looks like the better investment: it had higher total return (ICICIBANK -9.1% vs HDFCBANK -31.4%) and a higher Sharpe ratio (ICICIBANK -0.54 vs HDFCBANK -1.70). On risk, ICICIBANK was less volatile (ICICIBANK 21.1% vs HDFCBANK 23.4%), ICICIBANK had a smaller max drawdown (ICICIBANK -22.7% vs HDFCBANK -33.6%), and ICICIBANK had less severe losses on the worst 5% of days (Expected Shortfall of ICICIBANK -2.79% vs HDFCBANK -3.59%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: HDFCBANK or ICICIBANK?

Over the past year, ICICIBANK outperformed HDFCBANK. ICICIBANK returned -9.1% compared with HDFCBANK’s -31.4%. ICICIBANK had the better risk-adjusted return, with a Sharpe ratio of -0.54 versus HDFCBANK’s -1.70. ICICIBANK was less volatile than HDFCBANK, and ICICIBANK had a smaller max drawdown than HDFCBANK.

Total Return

HDFCBANK -31.4%

ICICIBANK -9.1%

Sharpe Ratio

HDFCBANK -1.70

ICICIBANK -0.54

Annualized Volatility

HDFCBANK 23.4%

ICICIBANK 21.1%

Max Drawdown

HDFCBANK -33.6%

ICICIBANK -22.7%

Metric winners: Total Return: ICICIBANK; Sharpe Ratio: ICICIBANK; Annualized Volatility: ICICIBANK (less volatile); Max Drawdown: ICICIBANK (smaller drawdown).

HDFCBANK Total Return

↓ -31.4%

ICICIBANK Total Return

↓ -9.1%

Relative Performance of HDFCBANK vs ICICIBANK (Normalized to 100)

HDFCBANK ICICIBANK

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: HDFCBANK delivered a -31.4% total return, while ICICIBANK returned -9.1% over the same period. ICICIBANK outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): Both Sharpe ratios were negative (ICICIBANK -0.54 vs HDFCBANK -1.70), meaning both underperformed the risk-free rate; ICICIBANK was less negative.
Volatility (Annualized): HDFCBANK was more volatile, with 23.4% annualized volatility, versus 21.1% for ICICIBANK.
Maximum Drawdown: ICICIBANK's maximum drawdown was -22.7%, while HDFCBANK experienced a deeper drawdown of -33.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), HDFCBANK's VaR was -2.31% and its Expected Shortfall (CVaR) was -3.59%; ICICIBANK's were -2.21% and -2.79%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: HDFCBANK -0.18 vs ICICIBANK 0.17. Excess kurtosis: HDFCBANK 2.82 vs ICICIBANK 0.87. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): HDFCBANK 7/9, ICICIBANK 8/7. Worst day: HDFCBANK -6.19% (2026-03-19) vs ICICIBANK -3.93% (2026-03-19). Best day: HDFCBANK +5.66% (2026-04-08) vs ICICIBANK +5.07% (2026-04-08).
Risk ratios: Sortino - HDFCBANK: -2.23 vs. ICICIBANK: -0.76 , Calmar - HDFCBANK: -0.94 vs. ICICIBANK: -0.40 , Sterling - HDFCBANK: -1.05 vs. ICICIBANK: -0.57 , Treynor - HDFCBANK: -1.44 vs. ICICIBANK: -0.79 , Ulcer Index - HDFCBANK: 20.07% vs. ICICIBANK: 11.34%

Investment Comparison

If you invested $10,000 in each asset on August 22, 2025:

HDFCBANK $6,862.77 -31.4%

ICICIBANK $9,094.39 -9.1%

Difference: $2,231.62 (ICICIBANK ahead)

HDFC Bank vs ICICI Bank Performance Over Time

Metric	HDFCBANK	ICICIBANK
30 Days	-2.8%	0.1%
90 Days	-3.1%	13.8%
180 Days	-22.9%	-2.3%
1 Year	-31.4%	-9.1%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

HDFC Bank vs ICICI Bank Correlation

Average Correlation

moderately correlated

0.60

Current (30-day) 0.24

30-day rolling range +0.10 to +0.88

HDFC Bank and ICICI Bank are moderately correlated over the past year. With a correlation of 0.60, these assets show moderate co-movement, offering some diversification when held together.

For portfolio construction, this moderate correlation offers some diversification benefit, though the assets still tend to move together during major market moves.

Metric	Value
Current (30-day)	0.24
Average (full period)	0.60
Minimum (30-day rolling)	0.10
Maximum (30-day rolling)	0.88

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

HDFCBANK

-33.6%

ICICIBANK

-22.7%

HDFC Bank experienced its maximum drawdown of -33.6% from 2025-10-23 to 2026-08-19. It has not yet recovered to its previous peak.

ICICI Bank experienced its maximum drawdown of -22.7% from 2025-08-22 to 2026-03-30. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

HDFC Bank vs ICICI Bank Volatility (HDFCBANK vs ICICIBANK)

HDFCBANK Volatility

23.4%

±1.48% 1-day vol

ICICIBANK Volatility

21.1%

±1.33% 1-day vol

1-day volatility (1σ)

HDFCBANK

±1.48%

ICICIBANK

±1.33%

HDFC Bank's 23.4% annualized volatility translates to about ±1.48% one-standard-deviation daily volatility.

ICICI Bank's 21.1% annualized volatility translates to about ±1.33% one-standard-deviation daily volatility.

HDFCBANK had the wider volatility profile over this window. That means its day-to-day return distribution was broader; ICICIBANK was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and ICICIBANK

Sharpe Ratio: HDFCBANK vs. ICICIBANK

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. Both Sharpe ratios were negative (ICICIBANK -0.54 vs HDFCBANK -1.70), meaning both underperformed the risk-free rate; ICICIBANK was less negative.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of HDFCBANK and ICICIBANK

Sortino Ratio: HDFCBANK vs. ICICIBANK

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). ICICIBANK had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: HDFCBANK 17.8% vs ICICIBANK 15.0%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of HDFCBANK and ICICIBANK

Calmar Ratio: HDFCBANK vs. ICICIBANK

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. ICICIBANK posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of HDFCBANK and ICICIBANK

Sterling Ratio: HDFCBANK vs. ICICIBANK

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). ICICIBANK posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of HDFCBANK and ICICIBANK

Treynor Ratio: HDFCBANK vs. ICICIBANK

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. ICICIBANK posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of HDFCBANK and ICICIBANK

Ulcer Index: HDFCBANK vs. ICICIBANK

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. ICICIBANK had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. ICICI Bank

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: HDFCBANK vs. ICICIBANK (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	HDFCBANK	ICICIBANK
5% VaR (daily log return)	-2.31%	-2.21%
5% Expected Shortfall (CVaR)	-3.59% (worst 13 days)	-2.79% (worst 13 days)
Skew	-0.18	0.17
Excess kurtosis	2.82	0.87
2σ tail days (down / up)	7 / 9	8 / 7
Worst day	-6.19% (2026-03-19)	-3.93% (2026-03-19)
Best day	+5.66% (2026-04-08)	+5.07% (2026-04-08)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=245). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: HDFCBANK vs. ICICIBANK (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both HDFCBANK and ICICIBANK crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both HDFCBANK and ICICIBANK had a big down day (2σ)

Date (interval)	HDFCBANK	ICICIBANK
2026-03-19	-6.19%	-3.93%
2026-03-20 → 2026-03-23	-5.48%	-2.67%
2026-03-27 → 2026-03-30	-3.74%	-2.75%

Days when HDFCBANK had a big down day

Date (interval)	HDFCBANK	ICICIBANK
2026-03-19	-6.19%	-3.93%
2026-03-20 → 2026-03-23	-5.48%	-2.67%
2026-03-25 → 2026-03-27	-3.35%	-2.07%
2026-03-27 → 2026-03-30	-3.74%	-2.75%
2026-04-10 → 2026-04-13	-4.04%	0.00%
2026-05-27	-3.26%	-1.18%
2026-07-17 → 2026-07-20	-4.76%	+1.49%

Days when ICICIBANK had a big down day

Date (interval)	HDFCBANK	ICICIBANK
2025-10-17 → 2025-10-20	+0.03%	-3.24%
2026-03-06	-2.00%	-2.90%
2026-03-06 → 2026-03-09	-2.07%	-2.82%
2026-03-19	-6.19%	-3.93%
2026-03-20 → 2026-03-23	-5.48%	-2.67%
2026-03-27 → 2026-03-30	-3.74%	-2.75%
2026-05-12	-2.72%	-3.05%
2026-08-07	-0.69%	-2.74%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of HDFC Bank vs. ICICI Bank (1-Year)

Metric	HDFCBANK	ICICIBANK
Total Return	-31.4%	-9.1%
Annualized Volatility	23.4%	21.1%
Sharpe Ratio	-1.70	-0.54
Sortino Ratio	-2.23	-0.76
Calmar Ratio	-0.94	-0.40
Sterling Ratio	-1.05	-0.57
Treynor Ratio	-1.44	-0.79
Ulcer Index	20.07%	11.34%
Max Drawdown	-33.6%	-22.7%
Avg Correlation to S&P 500	0.15	0.13
5% VaR (daily log return)	-2.31%	-2.21%
5% Expected Shortfall (CVaR)	-3.59%	-2.79%
Skew	-0.18	0.17
Excess kurtosis	2.82	0.87
2σ tail days (down / up)	7 / 9	8 / 7

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-08-22 → 2026-08-21 (last shared close).
Rolling correlation sample (shared closes): 216 rolling 30-day values (from 245 shared daily returns).
Annualization (days/year): HDFCBANK: 252 days/year; ICICIBANK: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

HDFCBANK: 3.81% over 2025-08-22 → 2026-08-21.

ICICIBANK: 3.81% over 2025-08-22 → 2026-08-21.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

HDFCBANK: ≈ -2.7%/yr

ICICIBANK: ≈ -2.2%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

HDFC Bank vs ICICI Bank: Frequently Asked Questions

Which has higher volatility: HDFCBANK or ICICIBANK?

HDFCBANK showed higher volatility at 23.4% annualized, compared to 21.1% for ICICIBANK Over the past year. Higher volatility means larger price swings in both directions.

Does HDFCBANK provide diversification when held with ICICIBANK?

HDFCBANK and ICICIBANK are moderately correlated over the past year, with an average correlation of 0.60. This offers some diversification benefit, though they still tend to move together during major market moves.

How bad are the worst 5% days for HDFCBANK vs ICICIBANK?

Over the past year, HDFCBANK's 5% VaR was -2.31% and its 5% Expected Shortfall was -3.59% (worst 13 days). ICICIBANK's were -2.21% and -2.79% (worst 13 days).

Do HDFCBANK and ICICIBANK crash together on bad days?

On shared dates (n=245), when ICICIBANK has a 2σ down day, HDFCBANK also does 37.5% (3/8 days). In the other direction, when HDFCBANK has one, ICICIBANK also does 42.9% (3/7 days).

Which has better risk-adjusted returns: HDFCBANK or ICICIBANK?

Both assets posted negative Sharpe ratios Over the past year (ICICIBANK -0.54 vs HDFCBANK -1.70), meaning both underperformed the risk-free rate; ICICIBANK was less negative.

Can HDFCBANK and ICICIBANK be combined in a portfolio?

Yes, though allocation sizing matters. Their moderate correlation offers some diversification benefits. HDFCBANK's higher volatility (23.4%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: HDFCBANK or ICICIBANK?

Share This Comparison of HDFCBANK vs ICICIBANK

Relative Performance of HDFCBANK vs ICICIBANK (Normalized to 100)

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Key Takeaways

Investment Comparison

HDFC Bank vs ICICI Bank Performance Over Time

HDFC Bank vs ICICI Bank Correlation

Drawdown

HDFC Bank vs ICICI Bank Volatility (HDFCBANK vs ICICIBANK)

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and ICICIBANK

Sharpe Ratio: HDFCBANK vs. ICICIBANK

Sortino Ratio of HDFCBANK and ICICIBANK

Sortino Ratio: HDFCBANK vs. ICICIBANK

Calmar Ratio of HDFCBANK and ICICIBANK

Calmar Ratio: HDFCBANK vs. ICICIBANK

Sterling Ratio of HDFCBANK and ICICIBANK

Sterling Ratio: HDFCBANK vs. ICICIBANK

Treynor Ratio of HDFCBANK and ICICIBANK

Treynor Ratio: HDFCBANK vs. ICICIBANK

Ulcer Index of HDFCBANK and ICICIBANK

Ulcer Index: HDFCBANK vs. ICICIBANK

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. ICICI Bank

Tail Risk & Distribution Shape: HDFCBANK vs. ICICIBANK (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: HDFCBANK vs. ICICIBANK (2σ)

Days when both HDFCBANK and ICICIBANK had a big down day (2σ)

Days when HDFCBANK had a big down day

Days when ICICIBANK had a big down day

Full Comparison of HDFC Bank vs. ICICI Bank (1-Year)

Inputs & conventions

Formulas

HDFC Bank vs ICICI Bank: Frequently Asked Questions

Which has higher volatility: HDFCBANK or ICICIBANK?

Does HDFCBANK provide diversification when held with ICICIBANK?

How bad are the worst 5% days for HDFCBANK vs ICICIBANK?

Do HDFCBANK and ICICIBANK crash together on bad days?

Which has better risk-adjusted returns: HDFCBANK or ICICIBANK?

Can HDFCBANK and ICICIBANK be combined in a portfolio?