Correlation Between Invesco EURO and Invesco MSCI
Can any of the company-specific risk be diversified away by investing in both Invesco EURO and Invesco 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 Invesco EURO and Invesco MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco EURO STOXX and Invesco MSCI World, you can compare the effects of market volatilities on Invesco EURO and Invesco 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 Invesco EURO with a short position of Invesco MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco EURO and Invesco MSCI.
Diversification Opportunities for Invesco EURO and Invesco MSCI
0.21 | Correlation Coefficient |
Modest diversification
The 3 months correlation between Invesco and Invesco is 0.21. Overlapping area represents the amount of risk that can be diversified away by holding Invesco EURO STOXX and Invesco MSCI World in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco MSCI World and Invesco EURO 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 Invesco EURO STOXX are associated (or correlated) with Invesco MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco MSCI World has no effect on the direction of Invesco EURO i.e., Invesco EURO and Invesco MSCI go up and down completely randomly.
Pair Corralation between Invesco EURO and Invesco MSCI
Assuming the 90 days trading horizon Invesco EURO STOXX is expected to under-perform the Invesco MSCI. In addition to that, Invesco EURO is 2.02 times more volatile than Invesco MSCI World. It trades about -0.18 of its total potential returns per unit of risk. Invesco MSCI World is currently generating about 0.24 per unit of volatility. If you would invest 537.00 in Invesco MSCI World on September 1, 2024 and sell it today you would earn a total of 18.00 from holding Invesco MSCI World or generate 3.35% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco EURO STOXX vs. Invesco MSCI World
Performance |
| Timeline |
| Invesco EURO STOXX |
| Invesco MSCI World |
Invesco EURO and Invesco MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco EURO and Invesco MSCI
The main advantage of trading using opposite Invesco EURO and Invesco MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco EURO position performs unexpectedly, Invesco 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 Invesco MSCI will offset losses from the drop in Invesco MSCI's long position.| Invesco EURO vs. Invesco MSCI Emerging | Invesco EURO vs. Invesco Markets Plc | Invesco EURO vs. Invesco FTSE RAFI | Invesco EURO vs. Invesco FTSE Emerging |
| Invesco MSCI vs. Invesco MSCI Emerging | Invesco MSCI vs. Invesco EURO STOXX | Invesco MSCI vs. Invesco Markets Plc | Invesco MSCI vs. Invesco FTSE RAFI |
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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
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