Correlation Between ICL Israel and Mivne Real

Can any of the company-specific risk be diversified away by investing in both ICL Israel and Mivne Real 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 ICL Israel and Mivne Real into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between ICL Israel Chemicals and Mivne Real Estate, you can compare the effects of market volatilities on ICL Israel and Mivne Real 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 ICL Israel with a short position of Mivne Real. Check out your portfolio center. Please also check ongoing floating volatility patterns of ICL Israel and Mivne Real.

Diversification Opportunities for ICL Israel and Mivne Real

0.86

Correlation Coefficient

ICL Israel  Mivne Real

Very poor diversification

The 3 months correlation between ICL and Mivne is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding ICL Israel Chemicals and Mivne Real Estate in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mivne Real Estate and ICL Israel 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 ICL Israel Chemicals are associated (or correlated) with Mivne Real. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mivne Real Estate has no effect on the direction of ICL Israel i.e., ICL Israel and Mivne Real go up and down completely randomly.

Pair Corralation between ICL Israel and Mivne Real

Assuming the 90 days trading horizon ICL Israel is expected to generate 1.51 times less return on investment than Mivne Real. In addition to that, ICL Israel is 1.26 times more volatile than Mivne Real Estate. It trades about 0.07 of its total potential returns per unit of risk. Mivne Real Estate is currently generating about 0.13 per unit of volatility. If you would invest  87,900  in Mivne Real Estate on September 29, 2024 and sell it today you would earn a total of  22,800  from holding Mivne Real Estate or generate 25.94% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Strong
Accuracy	100.0%
Values	Daily Returns

ICL Israel Chemicals  vs.  Mivne Real Estate

ICL Israel Chemicals

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in ICL Israel Chemicals are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak essential indicators, ICL Israel sustained solid returns over the last few months and may actually be approaching a breakup point.

Mivne Real Estate

Risk-Adjusted Performance

16 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Mivne Real Estate are ranked lower than 16 (%) of all global equities and portfolios over the last 90 days. Despite somewhat weak basic indicators, Mivne Real sustained solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with ICL Israel and Mivne Real

The main advantage of trading using opposite ICL Israel and Mivne Real positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if ICL Israel position performs unexpectedly, Mivne Real 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 Mivne Real will offset losses from the drop in Mivne Real's long position.

The idea behind ICL Israel Chemicals and Mivne Real Estate 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.

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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.