Correlation Between ICICI Bank and Johnson Controls
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By analyzing existing cross correlation between ICICI Bank Limited and Johnson Controls , you can compare the effects of market volatilities on ICICI Bank and Johnson Controls 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 Johnson Controls. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Bank and Johnson Controls.
Diversification Opportunities for ICICI Bank and Johnson Controls
-0.24 | Correlation Coefficient |
Very good diversification
The 3 months correlation between ICICI and Johnson is -0.24. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Bank Limited and Johnson Controls in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Johnson Controls 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 Johnson Controls. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Johnson Controls has no effect on the direction of ICICI Bank i.e., ICICI Bank and Johnson Controls go up and down completely randomly.
Pair Corralation between ICICI Bank and Johnson Controls
Assuming the 90 days trading horizon ICICI Bank is expected to generate 2.07 times less return on investment than Johnson Controls. But when comparing it to its historical volatility, ICICI Bank Limited is 2.71 times less risky than Johnson Controls. It trades about 0.08 of its potential returns per unit of risk. Johnson Controls is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 104,880 in Johnson Controls on September 2, 2024 and sell it today you would earn a total of 82,240 from holding Johnson Controls or generate 78.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 99.18% |
| Values | Daily Returns |
ICICI Bank Limited vs. Johnson Controls
Performance |
| Timeline |
| ICICI Bank Limited |
| Johnson Controls |
ICICI Bank and Johnson Controls Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Bank and Johnson Controls
The main advantage of trading using opposite ICICI Bank and Johnson Controls positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Bank position performs unexpectedly, Johnson Controls 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 Johnson Controls will offset losses from the drop in Johnson Controls' 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 |
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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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