Pair Correlation Between Bursa Malaysia and ISEQ

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

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to under-perform the ISEQ. But the index apears to be less risky and, when comparing its historical volatility, Bursa Malaysia is 2.82 times less risky than ISEQ. The index trades about -0.2 of its potential returns per unit of risk. The ISEQ is currently generating about 0.11 of returns per unit of risk over similar time horizon. If you would invest  672,137  in ISEQ on October 25, 2017 and sell it today you would earn a total of  13,378  from holding ISEQ or generate 1.99% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Bursa Malaysia and ISEQ
-0.18

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy78.26%
ValuesDaily Returns

Diversification

Good diversification

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

 Predicted Return Density 
      Returns