Correlation Analysis Between Bursa Malaysia and All Ords

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

 Predicted Return Density 
      Returns 

Bursa Malaysia  vs.  All Ords

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to generate 0.62 times more return on investment than All Ords. However, Bursa Malaysia is 1.6 times less risky than All Ords. It trades about -0.18 of its potential returns per unit of risk. All Ords is currently generating about -0.18 per unit of risk. If you would invest  174,059  in Bursa Malaysia on November 16, 2018 and sell it today you would lose (7,863)  from holding Bursa Malaysia or give up 4.52% of portfolio value over 30 days.

Pair Corralation between Bursa Malaysia and All Ords

0.68
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy85.37%
ValuesDaily Returns

Diversification Opportunities for Bursa Malaysia and All Ords

Bursa Malaysia diversification synergy

Poor diversification

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