Pair Correlation 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.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 MerVal  vs   Israel Index
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to under-perform the Israel Index. In addition to that, MerVal is 1.89 times more volatile than Israel Index. It trades about -0.14 of its total potential returns per unit of risk. Israel Index is currently generating about -0.21 per unit of volatility. If you would invest  112,886  in Israel Index on January 25, 2018 and sell it today you would lose (5,953)  from holding Israel Index or give up 5.27% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Israel Index
0.86

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthStrong
Accuracy100.0%
ValuesDaily Returns

Diversification

Very poor 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.
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Comparative Volatility

 Predicted Return Density 
      Returns