Xtrackers MSCI Correlations

KOKU Etf

USD 101.46 1.57 1.57%

The current 90-days correlation between Xtrackers MSCI Kokusai and Davis Select International is 0.67 (i.e., Poor diversification). The correlation of Xtrackers MSCI is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Xtrackers MSCI Correlation With Market

Poor diversification

The correlation between Xtrackers MSCI Kokusai and DJI is 0.75 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Xtrackers MSCI Kokusai and DJI in the same portfolio, assuming nothing else is changed.

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in Xtrackers MSCI Kokusai. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in industry.

Moving together with Xtrackers Etf

0.87	VT	Vanguard Total World	Pair Corr
0.99	ACWI	iShares MSCI ACWI	Pair Corr
0.91	IOO	iShares Global 100	Pair Corr
1.0	URTH	iShares MSCI World	Pair Corr
0.86	CRBN	iShares MSCI ACWI	Pair Corr
0.99	SPGM	SPDR Portfolio MSCI	Pair Corr
0.63	HPQ	HP Inc	Pair Corr
0.85	WMT	Walmart	Pair Corr
0.63	DD	Dupont De Nemours	Pair Corr
0.75	AXP	American Express	Pair Corr
0.89	JPM	JPMorgan Chase	Pair Corr

Related Correlations Analysis

	DINT	DIVY	PY	XC	MGMT	VFMV	VFVA	DSMC	DSTX
DINT		0.43	-0.16	-0.4	-0.61	0.73	-0.43	-0.75	0.92	DINT
DIVY	0.43		0.75	0.08	0.29	0.85	0.53	0.04	0.55	DIVY
PY	-0.16	0.75		0.54	0.82	0.37	0.91	0.62	-0.06	PY
XC	-0.4	0.08	0.54		0.79	-0.28	0.67	0.8	-0.47	XC
MGMT	-0.61	0.29	0.82	0.79		-0.18	0.92	0.94	-0.56	MGMT
VFMV	0.73	0.85	0.37	-0.28	-0.18		0.07	-0.44	0.84	VFMV
VFVA	-0.43	0.53	0.91	0.67	0.92	0.07		0.84	-0.3	VFVA
DSMC	-0.75	0.04	0.62	0.8	0.94	-0.44	0.84		-0.72	DSMC
DSTX	0.92	0.55	-0.06	-0.47	-0.56	0.84	-0.3	-0.72		DSTX
	DINT	DIVY	PY	XC	MGMT	VFMV	VFVA	DSMC	DSTX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

DSMC	+ 0.94	MGMT
DSTX	+ 0.92	DINT
VFVA	+ 0.92	MGMT
VFVA	+ 0.91	PY
VFMV	+ 0.85	DIVY
DSTX	+ 0.84	VFMV

High negative correlations

DSMC	- 0.75	DINT
DSTX	- 0.72	DSMC
MGMT	- 0.61	DINT
DSTX	- 0.56	MGMT
DSTX	- 0.47	XC
DSMC	- 0.44	VFMV

Xtrackers MSCI Constituents Risk-Adjusted Indicators

There is a big difference between Xtrackers Etf performing well and Xtrackers MSCI ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Xtrackers MSCI's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
DINT	1.01	0.10	0.07	0.12	1.38	(1.04)	2.03	(2.37)	8.79
DIVY	0.65	0.01	0.00	(0.02)	0.00	0.00	1.50	(1.31)	3.13
PY	0.71	(0.02)	0.00	(0.06)	0.00	0.00	1.35	(1.57)	3.12
XC	0.76	(0.05)	0.00	(0.13)	0.00	0.00	1.31	(2.19)	4.61
MGMT	0.89	(0.12)	0.00	(0.17)	0.00	0.00	1.40	(2.03)	5.42
VFMV	0.57	0.04	0.07	0.04	0.69	(0.60)	1.11	(0.99)	3.15
VFVA	0.81	(0.04)	0.00	(0.08)	0.00	0.00	1.27	(1.89)	3.62
DSMC	0.86	(0.14)	0.00	(0.19)	0.00	0.00	1.65	(1.90)	4.65
DSTX	0.63	0.13	0.17	0.26	0.71	(0.68)	1.36	(1.22)	4.74

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC