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

 Predicted Return Density 
      Returns 

XU100  vs.  Bursa Malaysia

 Performance (%) 
      Timeline 

Pair Volatility

Assuming 30 trading days horizon, XU100 is expected to under-perform the Bursa Malaysia. In addition to that, XU100 is 3.3 times more volatile than Bursa Malaysia. It trades about -0.11 of its total potential returns per unit of risk. Bursa Malaysia is currently generating about -0.21 per unit of volatility. If you would invest  166,894  in Bursa Malaysia on September 14, 2019 and sell it today you would lose (10,135)  from holding Bursa Malaysia or give up 6.07% of portfolio value over 30 days.

Pair Corralation between XU100 and Bursa Malaysia

0.44
Time Period3 Months [change]
DirectionPositive 
StrengthWeak
Accuracy55.74%
ValuesDaily Returns

Diversification Opportunities for XU100 and Bursa Malaysia

XU100 diversification synergy

Very weak 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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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.


 
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