Correlation Between Invesco AT1 and Invesco MSCI

Can any of the company-specific risk be diversified away by investing in both Invesco AT1 and Invesco 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 Invesco AT1 and Invesco MSCI into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between Invesco AT1 Capital and Invesco MSCI USA, you can compare the effects of market volatilities on Invesco AT1 and Invesco 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 Invesco AT1 with a short position of Invesco MSCI. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco AT1 and Invesco MSCI.

Diversification Opportunities for Invesco AT1 and Invesco MSCI

0.16

Correlation Coefficient

Invesco AT1  Invesco MSCI

Average diversification

The 3 months correlation between Invesco and Invesco is 0.16. Overlapping area represents the amount of risk that can be diversified away by holding Invesco AT1 Capital and Invesco MSCI USA in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco MSCI USA and Invesco AT1 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 Invesco AT1 Capital are associated (or correlated) with Invesco MSCI. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco MSCI USA has no effect on the direction of Invesco AT1 i.e., Invesco AT1 and Invesco MSCI go up and down completely randomly.

Pair Corralation between Invesco AT1 and Invesco MSCI

Assuming the 90 days trading horizon Invesco AT1 is expected to generate 5.0 times less return on investment than Invesco MSCI. But when comparing it to its historical volatility, Invesco AT1 Capital is 2.63 times less risky than Invesco MSCI. It trades about 0.12 of its potential returns per unit of risk. Invesco MSCI USA is currently generating about 0.23 of returns per unit of risk over similar time horizon. If you would invest  8,410  in Invesco MSCI USA on September 12, 2024 and sell it today you would earn a total of  771.00  from holding Invesco MSCI USA or generate 9.17% return on investment over 90 days.

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

Invesco AT1 Capital  vs.  Invesco MSCI USA

Invesco AT1 Capital

Risk-Adjusted Performance

9 of 100

OK

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco AT1 Capital are ranked lower than 9 (%) of all global equities and portfolios over the last 90 days. In spite of fairly stable basic indicators, Invesco AT1 is not utilizing all of its potentials. The latest stock price fuss, may contribute to near-short-term losses for the sophisticated investors.

Invesco MSCI USA

Risk-Adjusted Performance

18 of 100

Solid

Compared to the overall equity markets, risk-adjusted returns on investments in Invesco MSCI USA are ranked lower than 18 (%) of all global equities and portfolios over the last 90 days. In spite of fairly abnormal basic indicators, Invesco MSCI may actually be approaching a critical reversion point that can send shares even higher in January 2025.

Pair Trading with Invesco AT1 and Invesco MSCI

The main advantage of trading using opposite Invesco AT1 and Invesco MSCI positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco AT1 position performs unexpectedly, Invesco 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 Invesco MSCI will offset losses from the drop in Invesco MSCI's long position.

The idea behind Invesco AT1 Capital and Invesco MSCI USA 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.