Correlation Between NMI Holdings and MSCI
Can any of the company-specific risk be diversified away by investing in both NMI Holdings and MSCI 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 NMI Holdings and MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between NMI Holdings and MSCI Inc, you can compare the effects of market volatilities on NMI Holdings and MSCI 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 NMI Holdings with a short position of MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of NMI Holdings and MSCI.
Diversification Opportunities for NMI Holdings and MSCI
-0.1 | Correlation Coefficient |
Good diversification
The 3 months correlation between NMI and MSCI is -0.1. Overlapping area represents the amount of risk that can be diversified away by holding NMI Holdings and MSCI Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MSCI Inc and NMI Holdings 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 NMI Holdings are associated (or correlated) with MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MSCI Inc has no effect on the direction of NMI Holdings i.e., NMI Holdings and MSCI go up and down completely randomly.
Pair Corralation between NMI Holdings and MSCI
Assuming the 90 days horizon NMI Holdings is expected to generate 0.88 times more return on investment than MSCI. However, NMI Holdings is 1.14 times less risky than MSCI. It trades about 0.09 of its potential returns per unit of risk. MSCI Inc is currently generating about 0.03 per unit of risk. 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 |
NMI Holdings vs. MSCI Inc
Performance |
| Timeline |
| NMI Holdings |
| MSCI Inc |
NMI Holdings and MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with NMI Holdings and MSCI
The main advantage of trading using opposite NMI Holdings and MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if NMI Holdings position performs unexpectedly, MSCI 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 MSCI will offset losses from the drop in MSCI's long position.| NMI Holdings vs. CSSC Offshore Marine | NMI Holdings vs. SIEM OFFSHORE NEW | NMI Holdings vs. PARKEN Sport Entertainment | NMI Holdings vs. SK TELECOM TDADR |
| MSCI vs. Macquarie Group Limited | MSCI vs. Superior Plus Corp | MSCI vs. NMI Holdings | MSCI 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 Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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