Correlation Analysis Between MerVal and Israel Index

This module allows you to analyze existing cross correlation between MerVal and Israel Index. You can compare the effects of market volatilities on MerVal 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 MerVal with a short position of Israel Index. See also your portfolio center. Please also check ongoing floating volatility patterns of MerVal and Israel Index.
Horizon     30 Days    Login   to change
Compare Efficiency

Comparative Performance

 Predicted Return Density 

MerVal  vs.  Israel Index

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 1.52 times more return on investment than Israel Index. However, MerVal is 1.52 times more volatile than Israel Index. It trades about 0.06 of its potential returns per unit of risk. Israel Index is currently generating about -0.14 per unit of risk. If you would invest  2,869,061  in MerVal on November 18, 2018 and sell it today you would earn a total of  130,269  from holding MerVal or generate 4.54% return on investment over 30 days.

Pair Corralation between MerVal and Israel Index

Time Period2 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for MerVal and Israel Index

MerVal diversification synergy

Modest diversification

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

Thematic Opportunities

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See also your portfolio center. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.