Global X Correlations
| SDEM Etf | USD 24.10 0.17 0.71% |
The current 90-days correlation between Global X MSCI and Global X MSCI is 0.46 (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
Average diversification
The correlation between Global X MSCI and DJI is 0.12 (i.e., Average 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.
Global |
Moving together with Global Etf
| 0.8 | VWO | Vanguard FTSE Emerging | PairCorr |
| 0.86 | IEMG | iShares Core MSCI | PairCorr |
| 0.8 | EMC | Global X Funds | PairCorr |
| 0.86 | EEM | iShares MSCI Emerging | PairCorr |
| 0.8 | SPEM | SPDR Portfolio Emerging | PairCorr |
| 0.82 | FNDE | Schwab Fundamental | PairCorr |
| 0.84 | ESGE | iShares ESG Aware | PairCorr |
| 0.79 | DGS | WisdomTree Emerging | PairCorr |
| 0.83 | XSOE | WisdomTree Emerging | PairCorr |
| 0.61 | EMXC | iShares MSCI Emerging | PairCorr |
| 0.81 | DD | Dupont De Nemours Fiscal Year End 4th of February 2025 | PairCorr |
Moving against Global Etf
| 0.32 | SPAQ | Horizon Kinetics SPAC | PairCorr |
| 0.31 | DIS | Walt Disney Aggressive Push | PairCorr |
| 0.43 | TRV | The Travelers Companies Fiscal Year End 17th of January 2025 | PairCorr |
| 0.41 | BAC | Bank of America Aggressive Push | PairCorr |
| 0.41 | JPM | JPMorgan Chase Sell-off Trend | PairCorr |
| 0.32 | WMT | Walmart Aggressive Push | PairCorr |
Related Correlations Analysis
| -0.35 | 0.0 | 0.86 | -0.24 | EFAS | ||
| -0.35 | 0.47 | -0.04 | 0.93 | ALTY | ||
| 0.0 | 0.47 | -0.1 | 0.6 | DVYE | ||
| 0.86 | -0.04 | -0.1 | 0.0 | SRET | ||
| -0.24 | 0.93 | 0.6 | 0.0 | SPFF | ||
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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
| High negative correlations
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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 | (0.10) | 0.00 | (0.72) | 0.00 | 1.20 | 4.08 | |||
| ALTY | 0.32 | 0.03 | (0.12) | 0.24 | 0.36 | 0.76 | 1.69 | |||
| DVYE | 0.89 | (0.03) | (0.10) | 0.01 | 1.15 | 1.81 | 7.34 | |||
| SRET | 0.52 | (0.04) | 0.00 | (0.08) | 0.00 | 0.90 | 3.44 | |||
| SPFF | 0.36 | 0.05 | (0.12) | 0.42 | 0.25 | 0.83 | 2.08 |