Correlation Analysis Between MerVal and Bursa Malaysia

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

Comparative Performance

 Predicted Return Density 

MerVal  vs.  Bursa Malaysia

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 13.05 times more return on investment than Bursa Malaysia. However, MerVal is 13.05 times more volatile than Bursa Malaysia. It trades about -0.01 of its potential returns per unit of risk. Bursa Malaysia is currently generating about -0.19 per unit of risk. If you would invest  3,988,435  in MerVal on September 23, 2019 and sell it today you would lose (710,921)  from holding MerVal or give up 17.82% of portfolio value over 30 days.

Pair Corralation between MerVal and Bursa Malaysia

Time Period3 Months [change]
StrengthVery Weak
ValuesDaily Returns

Diversification Opportunities for MerVal and Bursa Malaysia

MerVal diversification synergy

Modest diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and Bursa Malaysia in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bursa Malaysia and MerVal 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 MerVal are associated (or correlated) with Bursa Malaysia. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Bursa Malaysia has no effect on the direction of MerVal i.e. MerVal and Bursa Malaysia go up and down completely randomly.
See also your portfolio center. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.