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I have a set of indices returns data, namely,

MSCI AC WORLD INDEX, MSCI ACWI/CONSUMER DISCR, MSCI ACWI/CONSUMER STAPLES, MSCI ACWI/ENERGY, MSCI ACWI/FINANCIALS, MSCI ACWI/HEALTH CARE, MSCI ACWI/INDUSTRIALS, MSCI ACWI/INFORMATION TECH, MSCI ACWI/MATERIALS, MSCI ACWI/METALS & MINING, MSCI ACWI/TELECOM SVC, MSCI ACWI/UTILITIES

AS you can see, all the sectors indices are components of the first index MSCI AC WORLD INDEX.

I want to use this set of data to describe the market dynamics. The first approach involved Risk Attribution where I use the sectors returns and their weights to calculate approximate risk attribution of the MSCI AC WORLD INDEX.

I thought about using Sharpe's Return-based Style Analysis but I don't think it's really useful here. I was just wondering what kinds of other statistical analysis is useful in this case, and I would greatly appreciate.

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  • $\begingroup$ This is a bit of an open-ended question, so it's difficult to know what sort of analysis could be useful to you. So, for example, you can look at the eigenvalues of the covariance matrix to see how concentrated the market has been recently (see papers.ssrn.com/sol3/papers.cfm?abstract_id=1633027). That would be one type of market dynamic, but, without further info, I would suggest your question is tough to answer. $\endgroup$ – Tim Wilding Jun 22 '18 at 17:38
  • $\begingroup$ @TimWilding Hi Tim. Thanks for your comment. I tried implementing the absorption ratio using Python, but I am not sure if I did correctly. What are some ways to confirm? $\endgroup$ – Jun Jang Jun 26 '18 at 21:58

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