Correlation Analysis Between NQTH and Israel Index

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

NQTH  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQTH is expected to generate 1.25 times more return on investment than Israel Index. However, NQTH is 1.25 times more volatile than Israel Index. It trades about 0.08 of its potential returns per unit of risk. Israel Index is currently generating about -0.03 per unit of risk. If you would invest  108,151  in NQTH on June 21, 2018 and sell it today you would earn a total of  1,568  from holding NQTH or generate 1.45% return on investment over 30 days.

Pair Corralation between NQTH and Israel Index

0.64
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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