Correlation Analysis Between IPC and Straits Tms

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

Comparative Performance

 Predicted Return Density 

IPC  vs.  Straits Tms

 Performance (%) 

Pair Volatility

Given the investment horizon of 30 days, IPC is expected to generate 1.79 times less return on investment than Straits Tms. But when comparing it to its historical volatility, IPC is 1.14 times less risky than Straits Tms. It trades about 0.16 of its potential returns per unit of risk. Straits Tms is currently generating about 0.26 of returns per unit of risk over similar time horizon. If you would invest  304,604  in Straits Tms on January 20, 2019 and sell it today you would earn a total of  19,370  from holding Straits Tms or generate 6.36% return on investment over 30 days.

Pair Corralation between IPC and Straits Tms

Time Period2 Months [change]
ValuesDaily Returns

Diversification Opportunities for IPC and Straits Tms

IPC diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding IPC and Straits Tms in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on Straits Tms and IPC 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 IPC are associated (or correlated) with Straits Tms. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Straits Tms has no effect on the direction of IPC i.e. IPC and Straits Tms go up and down completely randomly.

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See also your portfolio center. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.