Pair Correlation Between Russell 2000 and Israel Index

This module allows you to analyze existing cross correlation between Russell 2000 and Israel Index. You can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of Israel Index. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Israel Index.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russell 2000   vs   Israel Index
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 0.76 times more return on investment than Israel Index. However, Russell 2000 is 1.32 times less risky than Israel Index. It trades about 0.11 of its potential returns per unit of risk. Israel Index is currently generating about 0.05 per unit of risk. If you would invest  149,348  in Russell 2000 on October 25, 2017 and sell it today you would earn a total of  2,328  from holding Russell 2000 or generate 1.56% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and Israel Index
0.78

Parameters

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 Russell 2000 and Israel Index in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Israel Index and Russell 2000 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 Russell 2000 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 Russell 2000 i.e. Russell 2000 and Israel Index go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns