Pair Correlation Between Bursa Malaysia and NYSE

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

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to under-perform the NYSE. In addition to that, Bursa Malaysia is 1.03 times more volatile than NYSE. It trades about -0.2 of its total potential returns per unit of risk. NYSE is currently generating about -0.11 per unit of volatility. If you would invest  1,238,442  in NYSE on October 21, 2017 and sell it today you would lose (8,152)  from holding NYSE or give up 0.66% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between Bursa Malaysia and NYSE
0.72

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy90.48%
ValuesDaily Returns

Diversification

Poor diversification

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

 Predicted Return Density 
      Returns