Noticed today that hedging the MSCI World (NTR, div reinvested) by shorting it's very own future (same underlying index, also NTR) leaves a lot of active risk. This is explained by low correlation between the index and the future.
You can check with correl on BBG the correlation between ZWP1 and NDDUWI is only 80% over the past year using daily returns!
How do you guys explain this low correlation? I expected it to be 95%+