Global X Correlations

SDEM Etf

USD 25.16 0.05 0.20%

The current 90-days correlation between Global X MSCI and Global X MSCI is 0.45 (i.e., Very weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Global X moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Global X MSCI moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Global X Correlation With Market

Significant diversification

The correlation between Global X MSCI and DJI is 0.04 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Global X MSCI and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Global X MSCI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Global Etf

0.91	VWO	Vanguard FTSE Emerging	Pair Corr
0.92	IEMG	iShares Core MSCI	Pair Corr
0.87	EMC	Global X Funds	Pair Corr
0.91	EEM	iShares MSCI Emerging Aggressive Push	Pair Corr
0.8	SPEM	SPDR Portfolio Emerging	Pair Corr
0.78	FNDE	Schwab Fundamental	Pair Corr
0.92	ESGE	iShares ESG Aware	Pair Corr
0.77	DGS	WisdomTree Emerging	Pair Corr
0.92	XSOE	WisdomTree Emerging	Pair Corr
0.81	DD	Dupont De Nemours Sell-off Trend	Pair Corr

Moving against Global Etf

0.37	GBTC	Grayscale Bitcoin Trust	Pair Corr
0.52	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.42	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.41	JPM	JPMorgan Chase Fiscal Year End 10th of January 2025	Pair Corr

Related Correlations Analysis

	EFAS	ALTY	DVYE	SRET	SPFF
EFAS		-0.38	0.15	0.88	-0.14	EFAS
ALTY	-0.38		0.08	-0.24	0.83	ALTY
DVYE	0.15	0.08		-0.1	0.39	DVYE
SRET	0.88	-0.24	-0.1		-0.09	SRET
SPFF	-0.14	0.83	0.39	-0.09		SPFF
	EFAS	ALTY	DVYE	SRET	SPFF

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

SRET	+ 0.88	EFAS
SPFF	+ 0.83	ALTY
SPFF	+ 0.39	DVYE
DVYE	+ 0.15	EFAS
DVYE	+ 0.08	ALTY

High negative correlations

ALTY	- 0.38	EFAS
SRET	- 0.24	ALTY
SPFF	- 0.14	EFAS
SRET	- 0.1	DVYE
SPFF	- 0.09	SRET

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
EFAS	0.70	(0.05)	0.00	10.27	0.00	0.00	1.20	(1.54)	4.04
ALTY	0.31	0.01	(0.19)	0.17	0.33	(0.32)	0.76	(0.59)	1.70
DVYE	0.91	0.13	0.02	2.02	1.05	(1.00)	2.71	(1.81)	7.34
SRET	0.54	(0.10)	0.00	(0.33)	0.00	0.00	0.90	(1.31)	3.46
SPFF	0.34	0.02	(0.17)	0.27	0.32	(0.40)	0.83	(0.72)	1.98

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC