Correlation Between FactSet Research and MSCI
Can any of the company-specific risk be diversified away by investing in both FactSet Research and 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 FactSet Research and MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between FactSet Research Systems and MSCI Inc, you can compare the effects of market volatilities on FactSet Research and 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 FactSet Research with a short position of MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of FactSet Research and MSCI.
Diversification Opportunities for FactSet Research and MSCI
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between FactSet and MSCI is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding FactSet Research Systems and MSCI Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MSCI Inc and FactSet Research 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 FactSet Research Systems are associated (or correlated) with MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of MSCI Inc has no effect on the direction of FactSet Research i.e., FactSet Research and MSCI go up and down completely randomly.
Pair Corralation between FactSet Research and MSCI
Considering the 90-day investment horizon FactSet Research Systems is expected to generate 0.44 times more return on investment than MSCI. However, FactSet Research Systems is 2.26 times less risky than MSCI. It trades about -0.16 of its potential returns per unit of risk. MSCI Inc is currently generating about -0.21 per unit of risk. If you would invest 44,386 in FactSet Research Systems on January 26, 2024 and sell it today you would lose (2,103) from holding FactSet Research Systems or give up 4.74% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 91.3% |
| Values | Daily Returns |
FactSet Research Systems vs. MSCI Inc
Performance |
| Timeline |
| FactSet Research Systems |
| MSCI Inc |
FactSet Research and MSCI Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with FactSet Research and MSCI
The main advantage of trading using opposite FactSet Research and MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if FactSet Research position performs unexpectedly, 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 MSCI will offset losses from the drop in MSCI's long position.The idea behind FactSet Research Systems and MSCI Inc 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 Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Other Complementary Tools
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| AI Investment Finder Use AI to screen and filter profitable investment opportunities | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Portfolio Center All portfolio management and optimization tools to improve performance of your portfolios | |
| Portfolio Manager State of the art Portfolio Manager to monitor and improve performance of your invested capital | |
| Transaction History View history of all your transactions and understand their impact on performance | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Content Syndication Quickly integrate customizable finance content to your own investment portal | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Bonds Directory Find actively traded corporate debentures issued by US companies |