MSCI Correlations

MSCI Stock

USD 534.35 1.01 0.19%

The current 90-days correlation between MSCI Inc and Nasdaq Inc is 0.51 (i.e., Very weak diversification). The correlation of MSCI is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

MSCI Correlation With Market

Weak diversification

The correlation between MSCI Inc and DJI is 0.32 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with MSCI Stock

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in MSCI Inc. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in banks.

Moving against MSCI Stock

0.38	BKRKF	PT Bank Rakyat	Pair Corr
0.34	BEP	Brookfield Renewable	Pair Corr
0.31	PDFS	PDF Solutions	Pair Corr

Related Correlations Analysis

	NDAQ	AIG	AMP	APO	CBOE	MS	MET	BSBR	PRU	MS-PP
NDAQ		-0.14	0.32	0.31	0.23	-0.58	-0.5	-0.46	0.29	-0.78	NDAQ
AIG	-0.14		0.2	-0.39	0.04	-0.05	0.5	-0.14	0.41	0.25	AIG
AMP	0.32	0.2		0.73	0.11	-0.75	-0.39	-0.62	0.23	-0.59	AMP
APO	0.31	-0.39	0.73		0.08	-0.58	-0.6	-0.44	-0.07	-0.56	APO
CBOE	0.23	0.04	0.11	0.08		-0.37	-0.35	-0.47	-0.22	-0.18	CBOE
MS	-0.58	-0.05	-0.75	-0.58	-0.37		0.74	0.88	0.06	0.71	MS
MET	-0.5	0.5	-0.39	-0.6	-0.35	0.74		0.71	0.49	0.6	MET
BSBR	-0.46	-0.14	-0.62	-0.44	-0.47	0.88	0.71		0.21	0.53	BSBR
PRU	0.29	0.41	0.23	-0.07	-0.22	0.06	0.49	0.21		-0.22	PRU
MS-PP	-0.78	0.25	-0.59	-0.56	-0.18	0.71	0.6	0.53	-0.22		MS-PP
	NDAQ	AIG	AMP	APO	CBOE	MS	MET	BSBR	PRU	MS-PP

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

BSBR	+ 0.88	MS
MET	+ 0.74	MS
APO	+ 0.73	AMP
MS-PP	+ 0.71	MS
BSBR	+ 0.71	MET
MS-PP	+ 0.6	MET

High negative correlations

MS-PP	- 0.78	NDAQ
MS	- 0.75	AMP
BSBR	- 0.62	AMP
MET	- 0.6	APO
MS-PP	- 0.59	AMP
MS	- 0.58	APO

Risk-Adjusted Indicators

There is a big difference between MSCI Stock performing well and MSCI Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze MSCI's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
NDAQ	0.87	(0.04)	0.00	(0.04)	0.00	0.00	1.62	(1.74)	10.46
AIG	1.01	(0.10)	0.00	(0.07)	0.00	0.00	1.73	(2.41)	7.69
AMP	0.98	(0.27)	0.00	(0.16)	0.00	0.00	1.49	(2.81)	6.73
APO	1.47	(0.45)	0.00	(0.22)	0.00	0.00	2.70	(4.31)	9.62
CBOE	1.04	0.03	(0.03)	(0.03)	1.16	(1.17)	2.08	(2.02)	5.34
MS	0.92	0.13	0.11	0.15	1.04	(0.96)	2.31	(1.79)	6.32
MET	1.09	(0.04)	(0.01)	0.02	1.63	(1.02)	2.30	(2.74)	7.95
BSBR	1.34	0.02	0.01	0.06	1.83	(1.47)	2.54	(2.55)	8.15
PRU	1.11	(0.09)	0.00	(0.01)	0.00	0.00	2.14	(3.13)	5.94
MS-PP	0.18	(0.01)	(0.18)	0.01	0.21	(0.19)	0.36	(0.40)	1.07

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