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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

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Timeline

Considering 30-days investment horizon, Accenture plc is expected to under-perform the iGATE. But the stock apears to be less risky and, when comparing its historical volatility, Accenture plc is 3.98 times less risky than iGATE. The stock trades about -0.29 of its potential returns per unit of risk. The iGATE Corporation is currently generating about 0.21 of returns per unit of risk over similar time horizon. If you would invest 3,411 in iGATE Corporation on June 22, 2014 and sell it today you would earn a total of 353.00 from holding iGATE Corporation or generate 10.35% return on investment over 30 days.

Diversification

Very weak 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

0.43

Parameters

Time Period	1 Month [change]
Direction	Positive
Strength	Weak
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	0.47	(0.16)	(0.19)	(0.32)	0.95	(0.24)	(0.45)	0.63	(1.08)	2.59	Backtest
IGTE	1.77	0.60	0.22	0.19	1.88	0.22	(2.08)	3.58	(2.69)	12.10	Backtest

Comparative Volatility

Predicted Return Density

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Returns:

IGTE

ACN

Accenture plc

Premiums

Correlation

Profile

Over the last 30 days Accenture plc has generated negative risk-adjusted returns adding no value to investors with long positions.

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Backtest

Predict Price

Pair trading matchups for Accenture

International Business Machines Corporation vs. Accenture plc

Computer Sciences Corporation vs. Accenture plc

iGATE

Premiums

Correlation

Profile

Compared with the overall equity markets, risk-adjusted returns on investments in iGATE Corporation are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.

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Backtest

Predict Price

Pair trading matchups for iGATE

International Business Machines Corporation vs. iGATE Corporation

Accenture plc vs. iGATE Corporation

Computer Sciences Corporation vs. iGATE Corporation