Correlation Between Glassbox and ICL Israel

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

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

Diversification Opportunities for Glassbox and ICL Israel

0.06

Correlation Coefficient

Glassbox  ICL Israel

Significant diversification

The 3 months correlation between Glassbox and ICL is 0.06. Overlapping area represents the amount of risk that can be diversified away by holding Glassbox and ICL Israel Chemicals in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ICL Israel Chemicals and Glassbox 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 Glassbox are associated (or correlated) with ICL Israel. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ICL Israel Chemicals has no effect on the direction of Glassbox i.e., Glassbox and ICL Israel go up and down completely randomly.

Pair Corralation between Glassbox and ICL Israel

Assuming the 90 days trading horizon Glassbox is expected to generate 2.07 times more return on investment than ICL Israel. However, Glassbox is 2.07 times more volatile than ICL Israel Chemicals. It trades about 0.08 of its potential returns per unit of risk. ICL Israel Chemicals is currently generating about 0.0 per unit of risk. If you would invest  370,300  in Glassbox on August 31, 2024 and sell it today you would earn a total of  35,600  from holding Glassbox or generate 9.61% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	69.57%
Values	Daily Returns

Glassbox  vs.  ICL Israel Chemicals

Glassbox

Risk-Adjusted Performance

0 of 100

Modest

Over the last 90 days Glassbox has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat weak basic indicators, Glassbox sustained solid returns over the last few months and may actually be approaching a breakup point.

ICL Israel Chemicals

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days ICL Israel Chemicals has generated negative risk-adjusted returns adding no value to investors with long positions. Despite somewhat strong essential indicators, ICL Israel is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with Glassbox and ICL Israel

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

The idea behind Glassbox and ICL Israel Chemicals 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.

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 Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.