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Collecting data for ACN and IGTE ...

Correlation analysis between Accenture and iGATE

Investment horizon:

30 Days Login to change

This module allows you to analyze existing cross correlation between Accenture plc and iGATE Corporation. You can compare the effects of market volatilities on Accenture and iGATE 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 Accenture with a short position of iGATE. Please also check ongoing floating volatility patterns of Accenture and iGATE.

Accenture plc vs iGATE Corp.

Daily Returns (%)

IGTE

ACN

Change Benchmark

Embed

Timeline

Considering 30-days investment horizon, Accenture plc is expected to generate 0.25 times more return on investment than iGATE. However, Accenture plc is 4.0 times less risky than iGATE. It trades about -0.2 of its potential returns per unit of risk. iGATE Corporation is currently generating about -0.16 per unit of risk. If you would invest 8,125 in Accenture plc on July 1, 2014 and sell it today you would lose (197.00) from holding Accenture plc or give up 2.42% of portfolio value over 30 days.

Diversification

Poor diversification

Overlapping area represents amount of risk that can be diversified away by holding Accenture plc and iGATE Corp. in the same portfolio assuming nothing else is changed

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Correlation Coefficient

0.65

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Significant
Accuracy	100.0%
Values	Daily Returns

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Historical Performance Chart

Tangent Of Price Move

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
ACN	0.41	(0.02)	0.00	(0.18)	0.00	0.04	0.00	0.61	(1.08)	1.68	Backtest
IGTE	1.53	(0.02)	0.00	(0.15)	0.00	(0.10)	0.00	3.11	(4.06)	9.34	Backtest