Correlation Analysis Between Israel Index and NYSE

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

Comparative Performance

 Predicted Return Density 

Israel Index  vs.  NYSE

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, Israel Index is expected to generate 1.18 times more return on investment than NYSE. However, Israel Index is 1.18 times more volatile than NYSE. It trades about -0.06 of its potential returns per unit of risk. NYSE is currently generating about -0.09 per unit of risk. If you would invest  108,323  in Israel Index on November 14, 2018 and sell it today you would lose (4,162)  from holding Israel Index or give up 3.84% of portfolio value over 30 days.

Pair Corralation between Israel Index and NYSE

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for Israel Index and NYSE

Israel Index diversification synergy

Poor diversification

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

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