Correlation Analysis Between NQFI and Bursa Malaysia

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

NQFI  vs.  Bursa Malaysia

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, NQFI is expected to generate 0.6 times more return on investment than Bursa Malaysia. However, NQFI is 1.66 times less risky than Bursa Malaysia. It trades about -0.13 of its potential returns per unit of risk. Bursa Malaysia is currently generating about -0.25 per unit of risk. If you would invest  164,321  in NQFI on May 23, 2018 and sell it today you would lose (5,079)  from holding NQFI or give up 3.09% of portfolio value over 30 days.

Pair Corralation between NQFI and Bursa Malaysia

0.58
Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy64.52%
ValuesDaily Returns

Diversification

Very weak diversification

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

 Predicted Return Density 
      Returns 

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See also your portfolio center. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.