Pair Correlation Between Russell 2000 and Bursa Malaysia

This module allows you to analyze existing cross correlation between Russell 2000 and Bursa Malaysia. You can compare the effects of market volatilities on Russell 2000 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 Russell 2000 with a short position of Bursa Malaysia. See also your portfolio center. Please also check ongoing floating volatility patterns of Russell 2000 and Bursa Malaysia.
Investment Horizon     30 Days    Login   to change
Symbolsvs
 Russell 2000   vs   Bursa Malaysia
 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Russell 2000 is expected to generate 2.31 times more return on investment than Bursa Malaysia. However, Russell 2000 is 2.31 times more volatile than Bursa Malaysia. It trades about 0.1 of its potential returns per unit of risk. Bursa Malaysia is currently generating about -0.21 per unit of risk. If you would invest  149,749  in Russell 2000 on October 23, 2017 and sell it today you would earn a total of  2,140  from holding Russell 2000 or generate 1.43% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between Russell 2000 and Bursa Malaysia
-0.27

Parameters

Time Period1 Month [change]
DirectionNegative 
StrengthInsignificant
Accuracy86.96%
ValuesDaily Returns

Diversification

Very good diversification

Overlapping area represents the amount of risk that can be diversified away by holding Russell 2000 and Bursa Malaysia in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bursa Malaysia and Russell 2000 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 Russell 2000 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 Russell 2000 i.e. Russell 2000 and Bursa Malaysia go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns