Correlation Between MSCI and Macquarie Group
Can any of the company-specific risk be diversified away by investing in both MSCI and Macquarie Group at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining MSCI and Macquarie Group into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MSCI Inc and Macquarie Group Limited, you can compare the effects of market volatilities on MSCI and Macquarie Group 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 MSCI with a short position of Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI and Macquarie Group.
Diversification Opportunities for MSCI and Macquarie Group
0.15 | Correlation Coefficient |
Average diversification
The 3 months correlation between MSCI and Macquarie is 0.15. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and Macquarie Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group and MSCI 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 MSCI Inc are associated (or correlated) with Macquarie Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Macquarie Group has no effect on the direction of MSCI i.e., MSCI and Macquarie Group go up and down completely randomly.
Pair Corralation between MSCI and Macquarie Group
Assuming the 90 days horizon MSCI Inc is expected to generate 1.15 times more return on investment than Macquarie Group. However, MSCI is 1.15 times more volatile than Macquarie Group Limited. It trades about 0.07 of its potential returns per unit of risk. Macquarie Group Limited is currently generating about -0.34 per unit of risk. If you would invest 56,400 in MSCI Inc on September 24, 2024 and sell it today you would earn a total of 1,000.00 from holding MSCI Inc or generate 1.77% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Together |
Strength | Insignificant |
Accuracy | 100.0% |
Values | Daily Returns |
MSCI Inc vs. Macquarie Group Limited
Performance |
Timeline |
MSCI Inc |
Macquarie Group |
MSCI and Macquarie Group Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with MSCI and Macquarie Group
The main advantage of trading using opposite MSCI and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI position performs unexpectedly, Macquarie Group can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Macquarie Group will offset losses from the drop in Macquarie Group's long position.MSCI vs. SHIN ETSU CHEMICAL | MSCI vs. TIANDE CHEMICAL | MSCI vs. KINGBOARD CHEMICAL | MSCI vs. CHEMICAL INDUSTRIES |
Macquarie Group vs. Morgan Stanley | Macquarie Group vs. Morgan Stanley | Macquarie Group vs. The Charles Schwab | Macquarie Group vs. The Goldman Sachs |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Other Complementary Tools
Earnings Calls Check upcoming earnings announcements updated hourly across public exchanges | |
Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
Insider Screener Find insiders across different sectors to evaluate their impact on performance | |
Commodity Channel Use Commodity Channel Index to analyze current equity momentum | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm |