Correlation Between Mizrahi Tefahot and FIBI Holdings
Can any of the company-specific risk be diversified away by investing in both Mizrahi Tefahot and FIBI Holdings 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 Mizrahi Tefahot and FIBI Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mizrahi Tefahot and FIBI Holdings, you can compare the effects of market volatilities on Mizrahi Tefahot and FIBI Holdings 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 Mizrahi Tefahot with a short position of FIBI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mizrahi Tefahot and FIBI Holdings.
Diversification Opportunities for Mizrahi Tefahot and FIBI Holdings
0.98 | Correlation Coefficient |
Almost no diversification
The 3 months correlation between Mizrahi and FIBI is 0.98. Overlapping area represents the amount of risk that can be diversified away by holding Mizrahi Tefahot and FIBI Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on FIBI Holdings and Mizrahi Tefahot 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 Mizrahi Tefahot are associated (or correlated) with FIBI Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of FIBI Holdings has no effect on the direction of Mizrahi Tefahot i.e., Mizrahi Tefahot and FIBI Holdings go up and down completely randomly.
Pair Corralation between Mizrahi Tefahot and FIBI Holdings
Assuming the 90 days trading horizon Mizrahi Tefahot is expected to generate 1.24 times more return on investment than FIBI Holdings. However, Mizrahi Tefahot is 1.24 times more volatile than FIBI Holdings. It trades about 0.34 of its potential returns per unit of risk. FIBI Holdings is currently generating about 0.35 per unit of risk. If you would invest 1,504,000 in Mizrahi Tefahot on August 27, 2024 and sell it today you would earn a total of 96,000 from holding Mizrahi Tefahot or generate 6.38% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mizrahi Tefahot vs. FIBI Holdings
Performance |
| Timeline |
| Mizrahi Tefahot |
| FIBI Holdings |
Mizrahi Tefahot and FIBI Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mizrahi Tefahot and FIBI Holdings
The main advantage of trading using opposite Mizrahi Tefahot and FIBI Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mizrahi Tefahot position performs unexpectedly, FIBI Holdings 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 FIBI Holdings will offset losses from the drop in FIBI Holdings' long position.| Mizrahi Tefahot vs. Bank Hapoalim | Mizrahi Tefahot vs. Israel Discount Bank | Mizrahi Tefahot vs. Bezeq Israeli Telecommunication | Mizrahi Tefahot vs. Elbit Systems |
| FIBI Holdings vs. First International Bank | FIBI Holdings vs. Mizrahi Tefahot | FIBI Holdings vs. Israel Discount Bank | FIBI Holdings vs. Bank Leumi Le Israel |
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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