Correlation Between MSCI and Moodys
Can any of the company-specific risk be diversified away by investing in both MSCI and Moodys 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 Moodys into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between MSCI Inc and Moodys, you can compare the effects of market volatilities on MSCI and Moodys 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 Moodys. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI and Moodys.
Diversification Opportunities for MSCI and Moodys
Poor diversification
The 3 months correlation between MSCI and Moodys is 0.65. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and Moodys in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Moodys 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 Moodys. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Moodys has no effect on the direction of MSCI i.e., MSCI and Moodys go up and down completely randomly.
Pair Corralation between MSCI and Moodys
Assuming the 90 days trading horizon MSCI is expected to generate 2.07 times less return on investment than Moodys. In addition to that, MSCI is 1.33 times more volatile than Moodys. It trades about 0.05 of its total potential returns per unit of risk. Moodys is currently generating about 0.14 per unit of volatility. If you would invest 37,835 in Moodys on September 2, 2024 and sell it today you would earn a total of 37,615 from holding Moodys or generate 99.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 83.92% |
| Values | Daily Returns |
MSCI Inc vs. Moodys
Performance |
| Timeline |
| MSCI Inc |
| Moodys |
MSCI and Moodys Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with MSCI and Moodys
The main advantage of trading using opposite MSCI and Moodys positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI position performs unexpectedly, Moodys 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 Moodys will offset losses from the drop in Moodys' long position.| MSCI vs. Livetech da Bahia | MSCI vs. Raytheon Technologies | MSCI vs. Align Technology | MSCI vs. Monster Beverage |
| Moodys vs. B3 SA | Moodys vs. Energisa SA | Moodys vs. BTG Pactual Logstica | Moodys vs. Plano Plano Desenvolvimento |
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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