Correlation Between Singapore Exchange and MSCI

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

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

Diversification Opportunities for Singapore Exchange and MSCI

0.39

Correlation Coefficient

Singapore Exchange  MSCI

Weak diversification

The 3 months correlation between Singapore and MSCI is 0.39. Overlapping area represents the amount of risk that can be diversified away by holding Singapore Exchange Limited and MSCI Inc in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on MSCI Inc and Singapore Exchange 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 Singapore Exchange Limited 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 Singapore Exchange i.e., Singapore Exchange and MSCI go up and down completely randomly.

Pair Corralation between Singapore Exchange and MSCI

Assuming the 90 days horizon Singapore Exchange is expected to generate 23.43 times less return on investment than MSCI. In addition to that, Singapore Exchange is 1.74 times more volatile than MSCI Inc. It trades about 0.0 of its total potential returns per unit of risk. MSCI Inc is currently generating about 0.11 per unit of volatility. If you would invest  54,995  in MSCI Inc on September 20, 2024 and sell it today you would earn a total of  4,795  from holding MSCI Inc or generate 8.72% return on investment over 90 days.

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

Singapore Exchange Limited  vs.  MSCI Inc

Singapore Exchange

Risk-Adjusted Performance

0 of 100

Very Weak

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

MSCI Inc

Risk-Adjusted Performance

8 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in MSCI Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 90 days. Despite fairly unfluctuating fundamental indicators, MSCI may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Singapore Exchange and MSCI

The main advantage of trading using opposite Singapore Exchange and MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Singapore Exchange 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 Singapore Exchange Limited 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.

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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 Stocks Directory module to find actively traded stocks across global markets.