Pair Correlation Between Israel Index and OMXRGI

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

Pair Volatility

Assuming 30 trading days horizon, Israel Index is expected to under-perform the OMXRGI. In addition to that, Israel Index is 2.16 times more volatile than OMXRGI. It trades about -0.17 of its total potential returns per unit of risk. OMXRGI is currently generating about 0.3 per unit of volatility. If you would invest  101,196  in OMXRGI on October 22, 2017 and sell it today you would earn a total of  2,471  from holding OMXRGI or generate 2.44% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Israel Index and OMXRGI
-0.8

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthSignificant
Accuracy95.24%
ValuesDaily Returns

Diversification

Pay attention

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

 Predicted Return Density 
      Returns