Correlation Analysis Between Israel Index and NQFI

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

Comparative Performance

 Predicted Return Density 

Israel Index  vs.  NQFI

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Israel Index is expected to generate 0.88 times more return on investment than NQFI. However, Israel Index is 1.13 times less risky than NQFI. It trades about 0.09 of its potential returns per unit of risk. NQFI is currently generating about 0.02 per unit of risk. If you would invest  99,371  in Israel Index on September 15, 2019 and sell it today you would earn a total of  3,147  from holding Israel Index or generate 3.17% return on investment over 30 days.

Pair Corralation between Israel Index and NQFI

Time Period3 Months [change]
ValuesDaily Returns

Diversification Opportunities for Israel Index and NQFI

Israel Index diversification synergy

Very poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Israel Index and NQFI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQFI 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 NQFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQFI has no effect on the direction of Israel Index i.e. Israel Index and NQFI go up and down completely randomly.
See also your portfolio center. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.