Correlation Analysis Between Bursa Malaysia and IPC

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

Bursa Malaysia  vs.  IPC

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to generate 0.25 times more return on investment than IPC. However, Bursa Malaysia is 4.05 times less risky than IPC. It trades about -0.22 of its potential returns per unit of risk. IPC is currently generating about -0.3 per unit of risk. If you would invest  174,059  in Bursa Malaysia on October 17, 2018 and sell it today you would lose (4,638)  from holding Bursa Malaysia or give up 2.66% of portfolio value over 30 days.

Pair Corralation between Bursa Malaysia and IPC

0.63
Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Bursa Malaysia diversification synergy

Poor diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.


 
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