Correlation Between ICICI Prudential and ITETF
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By analyzing existing cross correlation between ICICI Prudential Nifty and ITETF, you can compare the effects of market volatilities on ICICI Prudential and ITETF 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 Prudential with a short position of ITETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Prudential and ITETF.
Diversification Opportunities for ICICI Prudential and ITETF
-0.12 | Correlation Coefficient |
Good diversification
The 3 months correlation between ICICI and ITETF is -0.12. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Prudential Nifty and ITETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ITETF and ICICI Prudential 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 Prudential Nifty are associated (or correlated) with ITETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ITETF has no effect on the direction of ICICI Prudential i.e., ICICI Prudential and ITETF go up and down completely randomly.
Pair Corralation between ICICI Prudential and ITETF
Assuming the 90 days trading horizon ICICI Prudential Nifty is expected to under-perform the ITETF. But the etf apears to be less risky and, when comparing its historical volatility, ICICI Prudential Nifty is 1.46 times less risky than ITETF. The etf trades about -0.01 of its potential returns per unit of risk. The ITETF is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest 4,143 in ITETF on September 4, 2024 and sell it today you would earn a total of 330.00 from holding ITETF or generate 7.97% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
ICICI Prudential Nifty vs. ITETF
Performance |
| Timeline |
| ICICI Prudential Nifty |
| ITETF |
ICICI Prudential and ITETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Prudential and ITETF
The main advantage of trading using opposite ICICI Prudential and ITETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Prudential position performs unexpectedly, ITETF 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 ITETF will offset losses from the drop in ITETF's long position.| ICICI Prudential vs. Kingfa Science Technology | ICICI Prudential vs. GTL Limited | ICICI Prudential vs. Agro Phos India | ICICI Prudential vs. Indo Amines Limited |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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