Correlation Between MSCI and NMI Holdings
Can any of the company-specific risk be diversified away by investing in both MSCI and NMI Holdings 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 NMI Holdings into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MSCI Inc and NMI Holdings, you can compare the effects of market volatilities on MSCI and NMI Holdings 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 NMI Holdings. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI and NMI Holdings.
Diversification Opportunities for MSCI and NMI Holdings
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between MSCI and NMI is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and NMI Holdings in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on NMI Holdings 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 NMI Holdings. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of NMI Holdings has no effect on the direction of MSCI i.e., MSCI and NMI Holdings go up and down completely randomly.
Pair Corralation between MSCI and NMI Holdings
Assuming the 90 days horizon MSCI is expected to generate 2.44 times less return on investment than NMI Holdings. In addition to that, MSCI is 1.14 times more volatile than NMI Holdings. It trades about 0.03 of its total potential returns per unit of risk. NMI Holdings is currently generating about 0.09 per unit of volatility. If you would invest 1,860 in NMI Holdings on August 29, 2024 and sell it today you would earn a total of 1,780 from holding NMI Holdings or generate 95.7% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Insignificant |
| Accuracy | 100.0% |
| Values | Daily Returns |
MSCI Inc vs. NMI Holdings
Performance |
| Timeline |
| MSCI Inc |
| NMI Holdings |
MSCI and NMI Holdings Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MSCI and NMI Holdings
The main advantage of trading using opposite MSCI and NMI Holdings positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI position performs unexpectedly, NMI Holdings 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 NMI Holdings will offset losses from the drop in NMI Holdings' long position.| MSCI vs. Macquarie Group Limited | MSCI vs. Superior Plus Corp | MSCI vs. NMI Holdings | MSCI vs. Origin Agritech |
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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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
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