Correlation Between Gujarat Fluorochemicals and ICICI Securities
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By analyzing existing cross correlation between Gujarat Fluorochemicals Limited and ICICI Securities Limited, you can compare the effects of market volatilities on Gujarat Fluorochemicals and ICICI Securities 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 Gujarat Fluorochemicals with a short position of ICICI Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Gujarat Fluorochemicals and ICICI Securities.
Diversification Opportunities for Gujarat Fluorochemicals and ICICI Securities
0.59 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between Gujarat and ICICI is 0.59. Overlapping area represents the amount of risk that can be diversified away by holding Gujarat Fluorochemicals Limite and ICICI Securities Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICICI Securities and Gujarat Fluorochemicals 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 Gujarat Fluorochemicals Limited are associated (or correlated) with ICICI Securities. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICICI Securities has no effect on the direction of Gujarat Fluorochemicals i.e., Gujarat Fluorochemicals and ICICI Securities go up and down completely randomly.
Pair Corralation between Gujarat Fluorochemicals and ICICI Securities
Assuming the 90 days trading horizon Gujarat Fluorochemicals Limited is expected to under-perform the ICICI Securities. In addition to that, Gujarat Fluorochemicals is 1.81 times more volatile than ICICI Securities Limited. It trades about -0.09 of its total potential returns per unit of risk. ICICI Securities Limited is currently generating about -0.08 per unit of volatility. If you would invest 89,675 in ICICI Securities Limited on August 26, 2024 and sell it today you would lose (4,580) from holding ICICI Securities Limited or give up 5.11% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Gujarat Fluorochemicals Limite vs. ICICI Securities Limited
Performance |
| Timeline |
| Gujarat Fluorochemicals |
| ICICI Securities |
Gujarat Fluorochemicals and ICICI Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Gujarat Fluorochemicals and ICICI Securities
The main advantage of trading using opposite Gujarat Fluorochemicals and ICICI Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Gujarat Fluorochemicals position performs unexpectedly, ICICI Securities 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 ICICI Securities will offset losses from the drop in ICICI Securities' long position.| Gujarat Fluorochemicals vs. NMDC Limited | Gujarat Fluorochemicals vs. Steel Authority of | Gujarat Fluorochemicals vs. Embassy Office Parks | Gujarat Fluorochemicals vs. Gujarat Alkalies and |
| ICICI Securities vs. Gujarat Fluorochemicals Limited | ICICI Securities vs. DMCC SPECIALITY CHEMICALS | ICICI Securities vs. Privi Speciality Chemicals | ICICI Securities vs. Omkar Speciality Chemicals |
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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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