Correlation Analysis Between BSE and Israel Index

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

 Predicted Return Density 
      Returns 

BSE  vs.  Israel Index

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, BSE is expected to under-perform the Israel Index. But the index apears to be less risky and, when comparing its historical volatility, BSE is 1.46 times less risky than Israel Index. The index trades about -0.05 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  101,105  in Israel Index on January 18, 2019 and sell it today you would earn a total of  3,970  from holding Israel Index or generate 3.93% return on investment over 30 days.

Pair Corralation between BSE and Israel Index

0.35
Time Period2 Months [change]
DirectionPositive 
StrengthVery Weak
Accuracy79.49%
ValuesDaily Returns

Diversification Opportunities for BSE and Israel Index

BSE diversification synergy

Weak diversification

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