Pair Correlation Between EURONEXT BEL-20 and Israel Index

This module allows you to analyze existing cross correlation between EURONEXT BEL-20 and Israel Index. You can compare the effects of market volatilities on EURONEXT BEL-20 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 EURONEXT BEL-20 with a short position of Israel Index. See also your portfolio center. Please also check ongoing floating volatility patterns of EURONEXT BEL-20 and Israel Index.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 EURONEXT BEL-20  vs   Israel Index
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, EURONEXT BEL-20 is expected to generate 2.24 times less return on investment than Israel Index. But when comparing it to its historical volatility, EURONEXT BEL-20 is 1.61 times less risky than Israel Index. It trades about 0.32 of its potential returns per unit of risk. Israel Index is currently generating about 0.45 of returns per unit of risk over similar time horizon. If you would invest  103,009  in Israel Index on December 18, 2017 and sell it today you would earn a total of  8,352  from holding Israel Index or generate 8.11% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between EURONEXT BEL-20 and Israel Index
0.82

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy86.96%
ValuesDaily Returns

Diversification

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding EURONEXT BEL-20 and Israel Index in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Israel Index and EURONEXT BEL-20 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 EURONEXT BEL-20 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 EURONEXT BEL-20 i.e. EURONEXT BEL-20 and Israel Index go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns