Pair Correlation Between Bursa Malaysia and NZSE

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

Pair Volatility

Assuming 30 trading days horizon, Bursa Malaysia is expected to generate 0.9 times more return on investment than NZSE. However, Bursa Malaysia is 1.11 times less risky than NZSE. It trades about 0.02 of its potential returns per unit of risk. NZSE is currently generating about -0.14 per unit of risk. If you would invest  183,315  in Bursa Malaysia on January 20, 2018 and sell it today you would earn a total of  513.00  from holding Bursa Malaysia or generate 0.28% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Bursa Malaysia and NZSE
0.27

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthVery Weak
Accuracy90.0%
ValuesDaily Returns

Diversification

Modest diversification

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

 Predicted Return Density 
      Returns