This module allows you to analyze existing cross correlation between Bursa Malaysia and Straits Tms. You can compare the effects of market volatilities on Bursa Malaysia and Straits Tms 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 Straits Tms. See also your portfolio center. Please also check ongoing floating volatility patterns of Bursa Malaysia and Straits Tms.
Assuming 30 trading days horizon, Bursa Malaysia is expected to under-perform the Straits Tms. But the index apears to be less risky and, when comparing its historical volatility, Bursa Malaysia is 1.69 times less risky than Straits Tms. The index trades about -0.22 of its potential returns per unit of risk. The Straits Tms is currently generating about -0.02 of returns per unit of risk over similar time horizon. If you would invest 307,110 in Straits Tms on October 17, 2018 and sell it today you would lose (1,657) from holding Straits Tms or give up 0.54% of portfolio value over 30 days.
Pair Corralation between Bursa Malaysia and Straits Tms
Overlapping area represents the amount of risk that can be diversified away by holding Bursa Malaysia and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of Bursa Malaysia i.e. Bursa Malaysia and Straits Tms go up and down completely randomly.
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