This module allows you to analyze existing cross correlation between Bursa Malaysia and NQFI. You can compare the effects of market volatilities on Bursa Malaysia and NQFI 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 NQFI. See also your portfolio center
. Please also check ongoing floating volatility patterns of Bursa Malaysia
Bursa Malaysia vs. NQFI
Assuming 30 trading days horizon, Bursa Malaysia is expected to under-perform the NQFI. But the index apears to be less risky and, when comparing its historical volatility, Bursa Malaysia is 1.18 times less risky than NQFI. The index trades about -0.02 of its potential returns per unit of risk. The NQFI is currently generating about 0.06 of returns per unit of risk over similar time horizon. If you would invest 161,662 in NQFI on June 18, 2018 and sell it today you would earn a total of 1,954 from holding NQFI or generate 1.21% return on investment over 30 days.
Pair Corralation between Bursa Malaysia and NQFI
|Time Period||1 Month [change]|
Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Bursa Malaysia and NQFI in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on NQFI 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 NQFI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NQFI has no effect on the direction of Bursa Malaysia i.e. Bursa Malaysia and NQFI go up and down completely randomly.
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