Correlation Analysis 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 0.99 times more return on investment than Israel Index. However, EURONEXT BEL-20 is 1.01 times less risky than Israel Index. It trades about 0.0 of its potential returns per unit of risk. Israel Index is currently generating about -0.02 per unit of risk. If you would invest  380,326  in EURONEXT BEL-20 on June 15, 2018 and sell it today you would earn a total of  82.00  from holding EURONEXT BEL-20 or generate 0.02% return on investment over 30 days.

Pair Corralation between EURONEXT BEL-20 and Israel Index

-0.13
Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy82.14%
ValuesDaily Returns

Diversification

Good 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 

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.