Global X Correlations
| GOEX Etf | USD 32.15 0.44 1.39% |
The current 90-days correlation between Global X Gold and US Global GO is 0.97 (i.e., Almost no diversification). The correlation of Global X 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. If the correlation is 0, the equities are not correlated; they are entirely random.
Global X Correlation With Market
Significant diversification
The correlation between Global X Gold and DJI is 0.08 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global X Gold and DJI in the same portfolio, assuming nothing else is changed.
Global |
Moving together with Global Etf
| 0.94 | GDX | VanEck Gold Miners | PairCorr |
| 0.89 | SIL | Global X Silver | PairCorr |
| 0.97 | SILJ | Amplify ETF Trust | PairCorr |
| 0.92 | SGDM | Sprott Gold Miners | PairCorr |
| 0.95 | SGDJ | Sprott Junior Gold | PairCorr |
| 0.98 | GOAU | US Global GO | PairCorr |
| 0.7 | CRIT | Optica Rare Earths | PairCorr |
| 0.61 | SMH | VanEck Semiconductor ETF | PairCorr |
| 0.61 | SOXX | iShares Semiconductor ETF | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
Global X Constituents Risk-Adjusted Indicators
There is a big difference between Global Etf performing well and Global X ETF 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 Global X'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| GOAU | 1.54 | (0.01) | (0.05) | 0.05 | 2.02 | 3.45 | 11.89 | |||
| SGDJ | 1.58 | (0.01) | (0.05) | 0.08 | 1.80 | 3.27 | 9.52 | |||
| SGDM | 1.37 | (0.10) | 0.00 | (0.33) | 0.00 | 2.85 | 9.78 | |||
| RING | 1.53 | (0.11) | 0.00 | (0.71) | 0.00 | 3.12 | 11.47 | |||
| SILJ | 1.93 | (0.12) | 0.00 | (0.14) | 0.00 | 4.23 | 13.58 |