Correlation Analysis Between OMXRGI and Israel Index

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

OMXRGI  vs.  Israel Index

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, OMXRGI is expected to generate 1.36 times more return on investment than Israel Index. However, OMXRGI is 1.36 times more volatile than Israel Index. It trades about -0.04 of its potential returns per unit of risk. Israel Index is currently generating about -0.19 per unit of risk. If you would invest  94,991  in OMXRGI on September 15, 2018 and sell it today you would lose (1,455)  from holding OMXRGI or give up 1.53% of portfolio value over 30 days.

Pair Corralation between OMXRGI and Israel Index

Time Period1 Month [change]
ValuesDaily Returns


Poor diversification

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

Comparative Volatility

 Predicted Return Density 

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