Pair Correlation Between NQFI and Israel Index

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

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to generate 1.13 times less return on investment than Israel Index. But when comparing it to its historical volatility, NQFI is 1.81 times less risky than Israel Index. It trades about 0.68 of its potential returns per unit of risk. Israel Index is currently generating about 0.43 of returns per unit of risk over similar time horizon. If you would invest  103,728  in Israel Index on December 21, 2017 and sell it today you would earn a total of  7,669  from holding Israel Index or generate 7.39% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NQFI and Israel Index
0.92

Parameters

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

Diversification

Almost no diversification

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

 Predicted Return Density 
      Returns