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

MerVal  vs.  Bursa Malaysia

 Performance (%) 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.52 times more return on investment than Bursa Malaysia. However, MerVal is 3.52 times more volatile than Bursa Malaysia. It trades about 0.06 of its potential returns per unit of risk. Bursa Malaysia is currently generating about -0.19 per unit of risk. If you would invest  2,959,818  in MerVal on November 11, 2018 and sell it today you would earn a total of  134,291  from holding MerVal or generate 4.54% return on investment over 30 days.

Pair Corralation between MerVal and Bursa Malaysia

Time Period2 Months [change]
ValuesDaily Returns


MerVal diversification synergy

Very good 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.

Comparative Volatility

 Predicted Return Density 

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See also your portfolio center. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.