MSCI Correlations

MSCI Stock

USD 576.36 0.05 0.01%

The current 90-days correlation between MSCI Inc and Moodys is 0.92 (i.e., Almost no 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

Very poor diversification

The correlation between MSCI Inc and DJI is 0.89 (i.e., Very poor 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 main economic indicators.

Moving together with MSCI Stock

0.77	FDS	FactSet Research Systems	Pair Corr
0.74	ICE	Intercontinental Exchange	Pair Corr
0.88	MCO	Moodys	Pair Corr
0.9	MORN	Morningstar	Pair Corr
0.67	NDAQ	Nasdaq Inc	Pair Corr
0.88	SPGI	SP Global	Pair Corr
0.75	C	Citigroup Aggressive Push	Pair Corr
0.82	L	Loews Corp	Pair Corr
0.78	V	Visa Class A	Pair Corr
0.75	DHIL	Diamond Hill Investment	Pair Corr
0.7	AB	AllianceBernstein	Pair Corr
0.79	AC	Associated Capital	Pair Corr
0.72	AX	Axos Financial	Pair Corr
0.76	BK	Bank of New York	Pair Corr
0.76	BN	Brookfield Corp	Pair Corr
0.86	BX	Blackstone Group Normal Trading	Pair Corr
0.75	BY	Byline Bancorp Normal Trading	Pair Corr
0.65	CB	Chubb	Pair Corr
0.77	CG	Carlyle Group Normal Trading	Pair Corr
0.68	DB	Deutsche Bank AG Normal Trading	Pair Corr
0.71	GS	Goldman Sachs Group	Pair Corr
0.75	HG	Hamilton Insurance Group,	Pair Corr
0.68	IX	Orix Corp Ads	Pair Corr
0.75	MA	Mastercard	Pair Corr

Moving against MSCI Stock

0.34

FG Annuities Life

Pair Corr

Related Correlations Analysis

	MCO	ICE	CME	NDAQ	SPGI	MORN
MCO		0.93	0.65	0.89	0.98	0.98	MCO
ICE	0.93		0.71	0.91	0.93	0.93	ICE
CME	0.65	0.71		0.61	0.67	0.66	CME
NDAQ	0.89	0.91	0.61		0.84	0.87	NDAQ
SPGI	0.98	0.93	0.67	0.84		0.97	SPGI
MORN	0.98	0.93	0.66	0.87	0.97		MORN
	MCO	ICE	CME	NDAQ	SPGI	MORN

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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	1.40	(0.01)	0.00	0.04	2.19	(1.61)	2.85	(2.92)	14.11
ICE	0.94	0.03	0.01	0.10	1.60	(0.91)	1.74	(1.96)	6.80
CME	0.96	0.08	0.02	1.28	1.64	(0.90)	1.73	(1.70)	7.40
NDAQ	1.16	0.17	0.07	0.20	1.97	(1.10)	2.69	(2.11)	10.79
SPGI	1.21	(0.03)	(0.01)	0.02	2.02	(1.18)	2.35	(3.00)	10.78
MORN	1.38	0.00	0.00	0.05	2.20	(1.29)	2.65	(3.64)	13.11

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