Correlation Between ICICI Securities and Transport

Can any of the company-specific risk be diversified away by investing in both ICICI Securities and Transport at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining ICICI Securities and Transport into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ICICI Securities Limited and Transport of, you can compare the effects of market volatilities on ICICI Securities and Transport 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 Transport. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICICI Securities and Transport.

Diversification Opportunities for ICICI Securities and Transport

0.17

Correlation Coefficient

ICICI Securities  Transport

Average diversification

The 3 months correlation between ICICI and Transport is 0.17. Overlapping area represents the amount of risk that can be diversified away by holding ICICI Securities Limited and Transport of in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Transport 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 Transport. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Transport has no effect on the direction of ICICI Securities i.e., ICICI Securities and Transport go up and down completely randomly.

Pair Corralation between ICICI Securities and Transport

Assuming the 90 days trading horizon ICICI Securities is expected to generate 2.97 times less return on investment than Transport. But when comparing it to its historical volatility, ICICI Securities Limited is 1.98 times less risky than Transport. It trades about 0.06 of its potential returns per unit of risk. Transport of is currently generating about 0.09 of returns per unit of risk over similar time horizon. If you would invest  111,096  in Transport of on September 12, 2024 and sell it today you would earn a total of  15,179  from holding Transport of or generate 13.66% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

ICICI Securities Limited  vs.  Transport of

ICICI Securities

Risk-Adjusted Performance

4 of 100

Modest

Compared to the overall equity markets, risk-adjusted returns on investments in ICICI Securities Limited are ranked lower than 4 (%) of all global equities and portfolios over the last 90 days. In spite of comparatively stable basic indicators, ICICI Securities is not utilizing all of its potentials. The latest stock price uproar, may contribute to short-horizon losses for the private investors.

Transport

Risk-Adjusted Performance

7 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Transport of are ranked lower than 7 (%) of all global equities and portfolios over the last 90 days. In spite of rather unsteady technical and fundamental indicators, Transport exhibited solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with ICICI Securities and Transport

The main advantage of trading using opposite ICICI Securities and Transport positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICICI Securities position performs unexpectedly, Transport 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 Transport will offset losses from the drop in Transport's long position.

The idea behind ICICI Securities Limited and Transport of pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.