Correlation Between Global X and EGPT
Can any of the company-specific risk be diversified away by investing in both Global X and EGPT at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Global X and EGPT into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Global X MSCI and EGPT, you can compare the effects of market volatilities on Global X and EGPT and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Global X with a short position of EGPT. Check out your portfolio center. Please also check ongoing floating volatility patterns of Global X and EGPT.
Diversification Opportunities for Global X and EGPT
Significant diversification
The 3 months correlation between Global and EGPT is 0.09. Overlapping area represents the amount of risk that can be diversified away by holding Global X MSCI and EGPT in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on EGPT and Global X is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Global X MSCI are associated (or correlated) with EGPT. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of EGPT has no effect on the direction of Global X i.e., Global X and EGPT go up and down completely randomly.
Pair Corralation between Global X and EGPT
Given the investment horizon of 90 days Global X MSCI is expected to generate 2.04 times more return on investment than EGPT. However, Global X is 2.04 times more volatile than EGPT. It trades about 0.1 of its potential returns per unit of risk. EGPT is currently generating about 0.1 per unit of risk. If you would invest 4,610 in Global X MSCI on August 28, 2024 and sell it today you would earn a total of 3,707 from holding Global X MSCI or generate 80.41% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Insignificant |
| Accuracy | 4.24% |
| Values | Daily Returns |
Global X MSCI vs. EGPT
Performance |
| Timeline |
| Global X MSCI |
| EGPT |
Risk-Adjusted Performance
0 of 100
Weak | Strong |
Very Weak
Global X and EGPT Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Global X and EGPT
The main advantage of trading using opposite Global X and EGPT positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Global X position performs unexpectedly, EGPT can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in EGPT will offset losses from the drop in EGPT's long position.| Global X vs. Global X MSCI | Global X vs. iShares MSCI Peru | Global X vs. iShares MSCI Chile | Global X vs. Global X MSCI |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
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