Correlation Between Shaniv and Mizrahi Tefahot
Can any of the company-specific risk be diversified away by investing in both Shaniv and Mizrahi Tefahot 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 Shaniv and Mizrahi Tefahot into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Shaniv and Mizrahi Tefahot, you can compare the effects of market volatilities on Shaniv and Mizrahi Tefahot 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 Shaniv with a short position of Mizrahi Tefahot. Check out your portfolio center. Please also check ongoing floating volatility patterns of Shaniv and Mizrahi Tefahot.
Diversification Opportunities for Shaniv and Mizrahi Tefahot
-0.17 | Correlation Coefficient |
Good diversification
The 3 months correlation between Shaniv and Mizrahi is -0.17. Overlapping area represents the amount of risk that can be diversified away by holding Shaniv and Mizrahi Tefahot in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mizrahi Tefahot and Shaniv 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 Shaniv are associated (or correlated) with Mizrahi Tefahot. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mizrahi Tefahot has no effect on the direction of Shaniv i.e., Shaniv and Mizrahi Tefahot go up and down completely randomly.
Pair Corralation between Shaniv and Mizrahi Tefahot
Assuming the 90 days trading horizon Shaniv is expected to under-perform the Mizrahi Tefahot. But the stock apears to be less risky and, when comparing its historical volatility, Shaniv is 1.73 times less risky than Mizrahi Tefahot. The stock trades about -0.42 of its potential returns per unit of risk. The Mizrahi Tefahot is currently generating about -0.08 of returns per unit of risk over similar time horizon. If you would invest 1,357,000 in Mizrahi Tefahot on January 25, 2024 and sell it today you would lose (50,000) from holding Mizrahi Tefahot or give up 3.68% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Shaniv vs. Mizrahi Tefahot
Performance |
| Timeline |
| Shaniv |
| Mizrahi Tefahot |
Shaniv and Mizrahi Tefahot Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Shaniv and Mizrahi Tefahot
The main advantage of trading using opposite Shaniv and Mizrahi Tefahot positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Shaniv position performs unexpectedly, Mizrahi Tefahot 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 Mizrahi Tefahot will offset losses from the drop in Mizrahi Tefahot's long position.| Shaniv vs. Rapac Communication Infrastructure | Shaniv vs. Shufersal | Shaniv vs. Palram | Shaniv vs. Nawi Brothers Group |
| Mizrahi Tefahot vs. Bank Leumi Le Israel | Mizrahi Tefahot vs. Bezeq Israeli Telecommunication | Mizrahi Tefahot vs. Elbit Systems |
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 Portfolio Analyzer module to portfolio analysis module that provides access to portfolio diagnostics and optimization engine.
Other Complementary Tools
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated | |
| Crypto Correlations Use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins |