Correlation Between ICICI Prudential and NIFTYETF
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By analyzing existing cross correlation between ICICI Prudential Nifty and NIFTYETF, you can compare the effects of market volatilities on ICICI Prudential and NIFTYETF 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 NIFTYETF. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Prudential and NIFTYETF.
Diversification Opportunities for ICICI Prudential and NIFTYETF
0.96 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between ICICI and NIFTYETF is 0.96. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Prudential Nifty and NIFTYETF in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NIFTYETF 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 NIFTYETF. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NIFTYETF has no effect on the direction of ICICI Prudential i.e., ICICI Prudential and NIFTYETF go up and down completely randomly.
Pair Corralation between ICICI Prudential and NIFTYETF
Assuming the 90 days trading horizon ICICI Prudential Nifty is expected to under-perform the NIFTYETF. But the etf apears to be less risky and, when comparing its historical volatility, ICICI Prudential Nifty is 1.03 times less risky than NIFTYETF. The etf trades about -0.1 of its potential returns per unit of risk. The NIFTYETF is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 26,886 in NIFTYETF on September 3, 2024 and sell it today you would lose (1,118) from holding NIFTYETF or give up 4.16% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 98.41% |
| Values | Daily Returns |
ICICI Prudential Nifty vs. NIFTYETF
Performance |
| Timeline |
| ICICI Prudential Nifty |
| NIFTYETF |
ICICI Prudential and NIFTYETF Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Prudential and NIFTYETF
The main advantage of trading using opposite ICICI Prudential and NIFTYETF positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Prudential position performs unexpectedly, NIFTYETF 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 NIFTYETF will offset losses from the drop in NIFTYETF's long position.| ICICI Prudential vs. ICICI Prudential Mutual | ICICI Prudential vs. ICICI Prudential Amc | ICICI Prudential vs. ICICI Prudential Mutual | ICICI Prudential vs. ICICI Prudential Mutual |
| NIFTYETF vs. ITETF | NIFTYETF vs. ICICI Prudential Nifty | NIFTYETF vs. Nippon India Mutual | NIFTYETF vs. MAKEINDIA |
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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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