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
0.53 | Correlation Coefficient |
Very weak diversification
The 3 months correlation between MSCI and Macquarie is 0.53. 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 is expected to generate 1.51 times less return on investment than Macquarie Group. In addition to that, MSCI is 1.11 times more volatile than Macquarie Group Limited. It trades about 0.03 of its total potential returns per unit of risk. Macquarie Group Limited is currently generating about 0.06 per unit of volatility. If you would invest 9,659 in Macquarie Group Limited on August 29, 2024 and sell it today you would earn a total of 4,591 from holding Macquarie Group Limited or generate 47.53% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Weak |
| 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. Macquarie Group Limited | MSCI vs. Superior Plus Corp | MSCI vs. NMI Holdings | MSCI vs. Origin Agritech |
| Macquarie Group vs. MSCI Inc | Macquarie Group vs. Superior Plus Corp | Macquarie Group vs. NMI Holdings | Macquarie Group vs. Origin Agritech |
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 Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
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