MSCI Correlations
| MSCI Stock | USD 548.35 1.40 0.26% |
The current 90-days correlation between MSCI Inc and Moodys is 0.57 (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 0.34 (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.
Moving against MSCI Stock
| 0.37 | CME | CME Group Sell-off Trend | PairCorr |
| 0.31 | LFIN | LongFin Corp | PairCorr |
| 0.49 | RVXCF | Resverlogix Corp | PairCorr |
| 0.38 | BSE | BSE Limited | PairCorr |
Related Correlations Analysis
| 0.75 | 0.39 | 0.86 | 0.92 | 0.59 | MCO | ||
| 0.75 | 0.71 | 0.64 | 0.79 | 0.82 | ICE | ||
| 0.39 | 0.71 | 0.31 | 0.34 | 0.55 | CME | ||
| 0.86 | 0.64 | 0.31 | 0.87 | 0.33 | NDAQ | ||
| 0.92 | 0.79 | 0.34 | 0.87 | 0.55 | SPGI | ||
| 0.59 | 0.82 | 0.55 | 0.33 | 0.55 | MORN | ||
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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| MCO | 0.91 | (0.09) | 0.00 | (0.06) | 0.00 | 1.72 | 9.46 | |||
| ICE | 0.73 | (0.23) | 0.00 | (0.48) | 0.00 | 1.70 | 5.75 | |||
| CME | 0.76 | (0.01) | 0.00 | 0.10 | 0.00 | 1.47 | 5.71 | |||
| NDAQ | 0.89 | (0.04) | 0.00 | (0.05) | 0.00 | 1.62 | 10.46 | |||
| SPGI | 0.84 | (0.14) | 0.00 | (0.21) | 0.00 | 1.52 | 10.78 | |||
| MORN | 1.12 | (0.44) | 0.00 | (0.50) | 0.00 | 1.63 | 8.35 |