Pair Correlation Between Israel Index and ISEQ

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

Pair Volatility

Assuming 30 trading days horizon, Israel Index is expected to generate 1.22 times more return on investment than ISEQ. However, Israel Index is 1.22 times more volatile than ISEQ. It trades about 0.08 of its potential returns per unit of risk. ISEQ is currently generating about 0.03 per unit of risk. If you would invest  96,215  in Israel Index on October 26, 2017 and sell it today you would earn a total of  1,435  from holding Israel Index or generate 1.49% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Israel Index and ISEQ
0.51

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
ValuesDaily Returns

Diversification

Very weak diversification

Overlapping area represents the amount of risk that can be diversified away by holding Israel Index and ISEQ in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on ISEQ and Israel Index 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 Israel Index are associated (or correlated) with ISEQ. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ISEQ has no effect on the direction of Israel Index i.e. Israel Index and ISEQ go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns