Pair Correlation Between MerVal and Straits Tms

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

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 3.5242598262022544E14 times more return on investment than Straits Tms. However, MerVal is 3.5242598262022544E14 times more volatile than Straits Tms. It trades about 0.22 of its potential returns per unit of risk. Straits Tms is currently generating about 0.09 per unit of risk. If you would invest  2,778,260  in MerVal on October 22, 2017 and sell it today you would lose (65,410)  from holding MerVal or give up 2.35% of portfolio value over 30 days.

Correlation Coefficient

Pair Corralation between MerVal and Straits Tms
-0.06

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy90.48%
ValuesDaily Returns

Diversification

Good diversification

Overlapping area represents the amount of risk that can be diversified away by holding MerVal and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms 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 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 MerVal i.e. MerVal and Straits Tms go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns