Correlation Analysis 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.
Horizon     30 Days    Login   to change
Symbolsvs
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Comparative Performance

 Predicted Return Density 
      Returns 

MerVal  vs.  Straits Tms

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, MerVal is expected to generate 2.17 times more return on investment than Straits Tms. However, MerVal is 2.17 times more volatile than Straits Tms. It trades about 0.06 of its potential returns per unit of risk. Straits Tms is currently generating about 0.05 per unit of risk. If you would invest  2,869,061  in MerVal on November 18, 2018 and sell it today you would earn a total of  119,741  from holding MerVal or generate 4.17% return on investment over 30 days.

Pair Corralation between MerVal and Straits Tms

0.69
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy97.5%
ValuesDaily Returns

Diversification Opportunities for MerVal and Straits Tms

MerVal diversification synergy

Poor 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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