Correlation Between MSCI and Macquarie Group

Can any of the company-specific risk be diversified away by investing in both MSCI and Macquarie Group 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 Macquarie Group into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between MSCI Inc and Macquarie Group Limited, you can compare the effects of market volatilities on MSCI and Macquarie Group 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 Macquarie Group. Check out your portfolio center. Please also check ongoing floating volatility patterns of MSCI and Macquarie Group.

Diversification Opportunities for MSCI and Macquarie Group

0.4

Correlation Coefficient

MSCI  Macquarie Group

Very weak diversification

The 3 months correlation between MSCI and Macquarie is 0.4. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and Macquarie Group Limited in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Macquarie Group 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 Macquarie Group. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Macquarie Group has no effect on the direction of MSCI i.e., MSCI and Macquarie Group go up and down completely randomly.

Pair Corralation between MSCI and Macquarie Group

Assuming the 90 days horizon MSCI Inc is expected to under-perform the Macquarie Group. In addition to that, MSCI is 1.05 times more volatile than Macquarie Group Limited. It trades about -0.03 of its total potential returns per unit of risk. Macquarie Group Limited is currently generating about 0.17 per unit of volatility. If you would invest  10,475  in Macquarie Group Limited on April 23, 2025 and sell it today you would earn a total of  1,921  from holding Macquarie Group Limited or generate 18.34% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Weak
Accuracy	100.0%
Values	Daily Returns

MSCI Inc  vs.  Macquarie Group Limited

MSCI Inc

Risk-Adjusted Performance

Insignificant

Over the last 90 days MSCI Inc has generated negative risk-adjusted returns adding no value to investors with long positions. Despite nearly stable basic indicators, MSCI is not utilizing all of its potentials. The newest stock price disturbance, may contribute to mid-run losses for the stockholders.

Macquarie Group

Risk-Adjusted Performance

Good

Compared to the overall equity markets, risk-adjusted returns on investments in Macquarie Group Limited are ranked lower than 13 (%) of all global equities and portfolios over the last 90 days. Despite nearly uncertain basic indicators, Macquarie Group reported solid returns over the last few months and may actually be approaching a breakup point.

Pair Trading with MSCI and Macquarie Group

The main advantage of trading using opposite MSCI and Macquarie Group positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if MSCI position performs unexpectedly, Macquarie Group 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 Macquarie Group will offset losses from the drop in Macquarie Group's long position.

The idea behind MSCI Inc and Macquarie Group Limited pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.