Correlation Analysis Between NYSE and Israel Index

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

NYSE  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, NYSE is expected to under-perform the Israel Index. But the index apears to be less risky and, when comparing its historical volatility, NYSE is 1.18 times less risky than Israel Index. The index trades about -0.1 of its potential returns per unit of risk. The Israel Index is currently generating about -0.07 of returns per unit of risk over similar time horizon. If you would invest  108,323  in Israel Index on November 11, 2018 and sell it today you would lose (4,825)  from holding Israel Index or give up 4.45% of portfolio value over 30 days.

Pair Corralation between NYSE and Israel Index

0.51
Time Period2 Months [change]
DirectionPositive 
StrengthWeak
Accuracy95.35%
ValuesDaily Returns

Diversification

NYSE diversification synergy

Very weak diversification

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

 Predicted Return Density 
      Returns 

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Alphabet
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ExchangeNASDAQ
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