Pair Correlation Between Bursa Malaysia and BSE

This module allows you to analyze existing cross correlation between Bursa Malaysia and BSE. You can compare the effects of market volatilities on Bursa Malaysia and BSE 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 BSE. See also your portfolio center. Please also check ongoing floating volatility patterns of Bursa Malaysia and BSE.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Bursa Malaysia  vs   BSE
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to under-perform the BSE. But the index apears to be less risky and, when comparing its historical volatility, Bursa Malaysia is 1.82 times less risky than BSE. The index trades about -0.2 of its potential returns per unit of risk. The BSE is currently generating about 0.12 of returns per unit of risk over similar time horizon. If you would invest  3,304,250  in BSE on October 25, 2017 and sell it today you would earn a total of  46,490  from holding BSE or generate 1.41% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Bursa Malaysia and BSE
-0.35

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy81.82%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns