Correlation Analysis Between SPTSX Comp and Bursa Malaysia

This module allows you to analyze existing cross correlation between SPTSX Comp and Bursa Malaysia. You can compare the effects of market volatilities on SPTSX Comp and Bursa Malaysia 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 SPTSX Comp with a short position of Bursa Malaysia. See also your portfolio center. Please also check ongoing floating volatility patterns of SPTSX Comp and Bursa Malaysia.
Horizon     30 Days    Login   to change
Symbolsvs

SPTSX Comp  vs.  Bursa Malaysia

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, SPTSX Comp is expected to under-perform the Bursa Malaysia. But the index apears to be less risky and, when comparing its historical volatility, SPTSX Comp is 1.22 times less risky than Bursa Malaysia. The index trades about -0.02 of its potential returns per unit of risk. The Bursa Malaysia is currently generating about 0.04 of returns per unit of risk over similar time horizon. If you would invest  178,758  in Bursa Malaysia on August 20, 2018 and sell it today you would earn a total of  536.00  from holding Bursa Malaysia or generate 0.3% return on investment over 30 days.

Pair Corralation between SPTSX Comp and Bursa Malaysia

-0.43
Time Period1 Month [change]
DirectionNegative 
StrengthVery Weak
Accuracy73.91%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns 

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