Correlation Between Mizrahi Tefahot and Shufersal
Can any of the company-specific risk be diversified away by investing in both Mizrahi Tefahot and Shufersal 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 Shufersal into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mizrahi Tefahot and Shufersal, you can compare the effects of market volatilities on Mizrahi Tefahot and Shufersal 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 Shufersal. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mizrahi Tefahot and Shufersal.
Diversification Opportunities for Mizrahi Tefahot and Shufersal
0.81 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Mizrahi and Shufersal is 0.81. Overlapping area represents the amount of risk that can be diversified away by holding Mizrahi Tefahot and Shufersal in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Shufersal 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 Shufersal. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Shufersal has no effect on the direction of Mizrahi Tefahot i.e., Mizrahi Tefahot and Shufersal go up and down completely randomly.
Pair Corralation between Mizrahi Tefahot and Shufersal
Assuming the 90 days trading horizon Mizrahi Tefahot is expected to generate 3.37 times less return on investment than Shufersal. But when comparing it to its historical volatility, Mizrahi Tefahot is 1.26 times less risky than Shufersal. It trades about 0.14 of its potential returns per unit of risk. Shufersal is currently generating about 0.37 of returns per unit of risk over similar time horizon. If you would invest 331,700 in Shufersal on September 1, 2024 and sell it today you would earn a total of 32,500 from holding Shufersal or generate 9.8% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mizrahi Tefahot vs. Shufersal
Performance |
| Timeline |
| Mizrahi Tefahot |
| Shufersal |
Mizrahi Tefahot and Shufersal Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mizrahi Tefahot and Shufersal
The main advantage of trading using opposite Mizrahi Tefahot and Shufersal positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mizrahi Tefahot position performs unexpectedly, Shufersal 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 Shufersal will offset losses from the drop in Shufersal's long position.| Mizrahi Tefahot vs. Bank Leumi Le Israel | Mizrahi Tefahot vs. Bank Hapoalim | Mizrahi Tefahot vs. Israel Discount Bank | Mizrahi Tefahot vs. First International Bank |
| Shufersal vs. Rami Levi | Shufersal vs. Bezeq Israeli Telecommunication | Shufersal vs. Bank Hapoalim | Shufersal 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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