Correlation Between Delek and Sarfati
Can any of the company-specific risk be diversified away by investing in both Delek and Sarfati 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 Delek and Sarfati into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Delek Group and Sarfati, you can compare the effects of market volatilities on Delek and Sarfati 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 Delek with a short position of Sarfati. Check out your portfolio center. Please also check ongoing floating volatility patterns of Delek and Sarfati.
Diversification Opportunities for Delek and Sarfati
Almost no diversification
The 3 months correlation between Delek and Sarfati is 0.92. Overlapping area represents the amount of risk that can be diversified away by holding Delek Group and Sarfati in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Sarfati and Delek 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 Delek Group are associated (or correlated) with Sarfati. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Sarfati has no effect on the direction of Delek i.e., Delek and Sarfati go up and down completely randomly.
Pair Corralation between Delek and Sarfati
Assuming the 90 days trading horizon Delek Group is expected to generate 1.2 times more return on investment than Sarfati. However, Delek is 1.2 times more volatile than Sarfati. It trades about 0.36 of its potential returns per unit of risk. Sarfati is currently generating about 0.25 per unit of risk. If you would invest 4,415,000 in Delek Group on August 28, 2024 and sell it today you would earn a total of 471,000 from holding Delek Group or generate 10.67% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Delek Group vs. Sarfati
Performance |
| Timeline |
| Delek Group |
| Sarfati |
Delek and Sarfati Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Delek and Sarfati
The main advantage of trading using opposite Delek and Sarfati positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Delek position performs unexpectedly, Sarfati 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 Sarfati will offset losses from the drop in Sarfati's long position.| Delek vs. Fattal 1998 Holdings | Delek vs. El Al Israel | Delek vs. Bank Leumi Le Israel | Delek vs. Teva Pharmaceutical Industries |
| Sarfati vs. Israel Canada | Sarfati vs. Delek Group | Sarfati vs. Shikun Binui | Sarfati vs. Israel Discount Bank |
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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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