Correlation Between Maruti Suzuki and ICICI Securities
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By analyzing existing cross correlation between Maruti Suzuki India and ICICI Securities Limited, you can compare the effects of market volatilities on Maruti Suzuki 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 Maruti Suzuki with a short position of ICICI Securities. Check out your portfolio center. Please also check ongoing floating volatility patterns of Maruti Suzuki and ICICI Securities.
Diversification Opportunities for Maruti Suzuki and ICICI Securities
0.13 | Correlation Coefficient |
Average diversification
The 3 months correlation between Maruti and ICICI is 0.13. Overlapping area represents the amount of risk that can be diversified away by holding Maruti Suzuki India and ICICI Securities Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICICI Securities and Maruti Suzuki 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 Maruti Suzuki India 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 Maruti Suzuki i.e., Maruti Suzuki and ICICI Securities go up and down completely randomly.
Pair Corralation between Maruti Suzuki and ICICI Securities
Assuming the 90 days trading horizon Maruti Suzuki India is expected to under-perform the ICICI Securities. But the stock apears to be less risky and, when comparing its historical volatility, Maruti Suzuki India is 1.11 times less risky than ICICI Securities. The stock trades about -0.04 of its potential returns per unit of risk. The ICICI Securities Limited is currently generating about 0.07 of returns per unit of risk over similar time horizon. If you would invest 75,145 in ICICI Securities Limited on September 3, 2024 and sell it today you would earn a total of 12,120 from holding ICICI Securities Limited or generate 16.13% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 99.32% |
| Values | Daily Returns |
Maruti Suzuki India vs. ICICI Securities Limited
Performance |
| Timeline |
| Maruti Suzuki India |
| ICICI Securities |
Maruti Suzuki and ICICI Securities Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Maruti Suzuki and ICICI Securities
The main advantage of trading using opposite Maruti Suzuki and ICICI Securities positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Maruti Suzuki 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.| Maruti Suzuki vs. Hybrid Financial Services | Maruti Suzuki vs. Country Club Hospitality | Maruti Suzuki vs. MAS Financial Services | Maruti Suzuki vs. IDBI Bank Limited |
| ICICI Securities vs. Reliance Industries Limited | ICICI Securities vs. Shipping | ICICI Securities vs. Indo Borax Chemicals | ICICI Securities vs. Kingfa Science Technology |
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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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