Pair Correlation Between All Ords and Israel Index

This module allows you to analyze existing cross correlation between All Ords and Israel Index. You can compare the effects of market volatilities on All Ords and Israel Index 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 All Ords with a short position of Israel Index. See also your portfolio center. Please also check ongoing floating volatility patterns of All Ords and Israel Index.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 All Ords  vs   Israel Index
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, All Ords is expected to generate 0.75 times more return on investment than Israel Index. However, All Ords is 1.34 times less risky than Israel Index. It trades about -0.04 of its potential returns per unit of risk. Israel Index is currently generating about -0.19 per unit of risk. If you would invest  616,470  in All Ords on January 26, 2018 and sell it today you would lose (5,950)  from holding All Ords or give up 0.97% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between All Ords and Israel Index
0.55

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy91.3%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding All Ords and Israel Index in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Israel Index and All Ords 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 All Ords are associated (or correlated) with Israel Index. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Israel Index has no effect on the direction of All Ords i.e. All Ords and Israel Index go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns