Pair Correlation Between XU100 and Bursa Malaysia

This module allows you to analyze existing cross correlation between XU100 and Bursa Malaysia. You can compare the effects of market volatilities on XU100 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 XU100 with a short position of Bursa Malaysia. See also your portfolio center. Please also check ongoing floating volatility patterns of XU100 and Bursa Malaysia.
 Time Horizon     30 Days    Login   to change
Symbolsvs
 XU100  vs   Bursa Malaysia
 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to generate 2.48 times more return on investment than Bursa Malaysia. However, XU100 is 2.48 times more volatile than Bursa Malaysia. It trades about 0.23 of its potential returns per unit of risk. Bursa Malaysia is currently generating about 0.53 per unit of risk. If you would invest  11,045,467  in XU100 on December 20, 2017 and sell it today you would earn a total of  640,135  from holding XU100 or generate 5.8% return on investment over 30 days.

Correlation Coefficient

Pair Corralation between XU100 and Bursa Malaysia
0.6

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthSignificant
Accuracy86.36%
ValuesDaily Returns

Diversification

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding XU100 and Bursa Malaysia in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Bursa Malaysia and XU100 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 XU100 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 XU100 i.e. XU100 and Bursa Malaysia go up and down completely randomly.
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Comparative Volatility

 Predicted Return Density 
      Returns