Correlation Between Blue Square and ICL Israel
Can any of the company-specific risk be diversified away by investing in both Blue Square and ICL Israel at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Blue Square and ICL Israel into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Blue Square Real and ICL Israel Chemicals, you can compare the effects of market volatilities on Blue Square and ICL Israel 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 Blue Square with a short position of ICL Israel. Check out your portfolio center. Please also check ongoing floating volatility patterns of Blue Square and ICL Israel.
Diversification Opportunities for Blue Square and ICL Israel
0.61 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Blue and ICL is 0.61. Overlapping area represents the amount of risk that can be diversified away by holding Blue Square Real and ICL Israel Chemicals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICL Israel Chemicals and Blue Square 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 Blue Square Real are associated (or correlated) with ICL Israel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICL Israel Chemicals has no effect on the direction of Blue Square i.e., Blue Square and ICL Israel go up and down completely randomly.
Pair Corralation between Blue Square and ICL Israel
Assuming the 90 days trading horizon Blue Square Real is expected to generate 1.29 times more return on investment than ICL Israel. However, Blue Square is 1.29 times more volatile than ICL Israel Chemicals. It trades about 0.03 of its potential returns per unit of risk. ICL Israel Chemicals is currently generating about -0.05 per unit of risk. If you would invest 2,328,821 in Blue Square Real on January 24, 2024 and sell it today you would earn a total of 369,179 from holding Blue Square Real or generate 15.85% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Blue Square Real vs. ICL Israel Chemicals
Performance |
| Timeline |
| Blue Square Real |
| ICL Israel Chemicals |
Blue Square and ICL Israel Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Blue Square and ICL Israel
The main advantage of trading using opposite Blue Square and ICL Israel positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Blue Square position performs unexpectedly, ICL Israel can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ICL Israel will offset losses from the drop in ICL Israel's long position.The idea behind Blue Square Real and ICL Israel Chemicals pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| ICL Israel vs. Neto ME Holdings | ICL Israel vs. Aryt Industries | ICL Israel vs. Kerur Holdings | ICL Israel vs. Globrands Group |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
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