Correlation Between ICICI Securities and ICICI Bank
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By analyzing existing cross correlation between ICICI Securities Limited and ICICI Bank Limited, you can compare the effects of market volatilities on ICICI Securities and ICICI Bank 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 Securities with a short position of ICICI Bank. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Securities and ICICI Bank.
Diversification Opportunities for ICICI Securities and ICICI Bank
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 Securities Limited and ICICI Bank Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICICI Bank Limited and ICICI Securities 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 Securities Limited are associated (or correlated) with ICICI Bank. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICICI Bank Limited has no effect on the direction of ICICI Securities i.e., ICICI Securities and ICICI Bank go up and down completely randomly.
Pair Corralation between ICICI Securities and ICICI Bank
Assuming the 90 days trading horizon ICICI Securities is expected to generate 1.23 times less return on investment than ICICI Bank. But when comparing it to its historical volatility, ICICI Securities Limited is 1.06 times less risky than ICICI Bank. It trades about 0.06 of its potential returns per unit of risk. ICICI Bank Limited is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 122,905 in ICICI Bank Limited on September 2, 2024 and sell it today you would earn a total of 7,105 from holding ICICI Bank Limited or generate 5.78% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 98.44% |
| Values | Daily Returns |
ICICI Securities Limited vs. ICICI Bank Limited
Performance |
| Timeline |
| ICICI Securities |
| ICICI Bank Limited |
ICICI Securities and ICICI Bank Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with ICICI Securities and ICICI Bank
The main advantage of trading using opposite ICICI Securities and ICICI Bank positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Securities position performs unexpectedly, ICICI Bank 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 Bank will offset losses from the drop in ICICI Bank's long position.| ICICI Securities vs. Dev Information Technology | ICICI Securities vs. Hathway Cable Datacom | ICICI Securities vs. Zodiac Clothing | ICICI Securities vs. FCS Software Solutions |
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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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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