Pair Correlation Between NZSE and Bursa Malaysia

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

Pair Volatility

Assuming 30 trading days horizon, NZSE is expected to under-perform the Bursa Malaysia. But the index apears to be less risky and, when comparing its historical volatility, NZSE is 1.22 times less risky than Bursa Malaysia. The index trades about -0.1 of its potential returns per unit of risk. The Bursa Malaysia is currently generating about 0.4 of returns per unit of risk over similar time horizon. If you would invest  175,164  in Bursa Malaysia on December 18, 2017 and sell it today you would earn a total of  7,103  from holding Bursa Malaysia or generate 4.06% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between NZSE and Bursa Malaysia
-0.21

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Very good diversification

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

 Predicted Return Density 
      Returns