Correlation Between MSCI ACWI and SMS Co,
Can any of the company-specific risk be diversified away by investing in both MSCI ACWI and SMS Co, 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 ACWI and SMS Co, into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MSCI ACWI exAUCONSUMER and SMS Co,, you can compare the effects of market volatilities on MSCI ACWI and SMS Co, 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 ACWI with a short position of SMS Co,. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI ACWI and SMS Co,.
Diversification Opportunities for MSCI ACWI and SMS Co,
Pay attention - limited upside
The 3 months correlation between MSCI and SMS is -0.8. Overlapping area represents the amount of risk that can be diversified away by holding MSCI ACWI exAUCONSUMER and SMS Co, in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on SMS Co, and MSCI ACWI 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 ACWI exAUCONSUMER are associated (or correlated) with SMS Co,. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SMS Co, has no effect on the direction of MSCI ACWI i.e., MSCI ACWI and SMS Co, go up and down completely randomly.
Pair Corralation between MSCI ACWI and SMS Co,
Assuming the 90 days horizon MSCI ACWI exAUCONSUMER is expected to generate 0.08 times more return on investment than SMS Co,. However, MSCI ACWI exAUCONSUMER is 12.98 times less risky than SMS Co,. It trades about 0.13 of its potential returns per unit of risk. SMS Co, is currently generating about -0.02 per unit of risk. If you would invest 2,220 in MSCI ACWI exAUCONSUMER on September 26, 2024 and sell it today you would earn a total of 254.00 from holding MSCI ACWI exAUCONSUMER or generate 11.44% return on investment over 90 days.
Time Period | 3 Months [change] |
Direction | Moves Against |
Strength | Significant |
Accuracy | 99.68% |
Values | Daily Returns |
MSCI ACWI exAUCONSUMER vs. SMS Co,
Performance |
Timeline |
MSCI ACWI exAUCONSUMER |
SMS Co, |
MSCI ACWI and SMS Co, Volatility Contrast
Predicted Return Density |
Returns |
Pair Trading with MSCI ACWI and SMS Co,
The main advantage of trading using opposite MSCI ACWI and SMS Co, positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI ACWI position performs unexpectedly, SMS Co, 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 SMS Co, will offset losses from the drop in SMS Co,'s long position.MSCI ACWI vs. Harrow Health 8625 | MSCI ACWI vs. Babcock Wilcox Enterprises, | MSCI ACWI vs. Babcock Wilcox Enterprises | MSCI ACWI vs. TRINL |
SMS Co, vs. CECO Environmental Corp | SMS Co, vs. Everus Construction Group | SMS Co, vs. PennantPark Investment | SMS Co, vs. Teleflex Incorporated |
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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
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