Correlation Between ICICI Bank and ICICI Securities
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By analyzing existing cross correlation between ICICI Bank Limited and ICICI Securities Limited, you can compare the effects of market volatilities on ICICI Bank 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 ICICI Bank with a short position of ICICI Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and ICICI Securities.
Diversification Opportunities for ICICI Bank and ICICI Securities
0.77 | Correlation Coefficient |
Poor diversification
The 3 months correlation between ICICI and ICICI is 0.77. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and ICICI Securities Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICICI Securities 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 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 ICICI Bank i.e., ICICI Bank and ICICI Securities go up and down completely randomly.
Pair Corralation between ICICI Bank and ICICI Securities
Assuming the 90 days trading horizon ICICI Bank is expected to generate 1.4 times less return on investment than ICICI Securities. In addition to that, ICICI Bank is 1.13 times more volatile than ICICI Securities Limited. It trades about 0.03 of its total potential returns per unit of risk. ICICI Securities Limited is currently generating about 0.05 per unit of volatility. If you would invest 86,390 in ICICI Securities Limited on September 2, 2024 and sell it today you would earn a total of 875.00 from holding ICICI Securities Limited or generate 1.01% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 95.24% |
| Values | Daily Returns |
ICICI Bank Limited vs. ICICI Securities Limited
Performance |
| Timeline |
| ICICI Bank Limited |
| ICICI Securities |
ICICI Bank and ICICI Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Bank and ICICI Securities
The main advantage of trading using opposite ICICI Bank and ICICI Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank 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.| ICICI Bank vs. GM Breweries Limited | ICICI Bank vs. Aban Offshore Limited | ICICI Bank vs. Kilitch Drugs Limited | ICICI Bank vs. Lemon Tree Hotels |
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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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
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