Global X Sptsx Etf Market Value
| HXF Etf | CAD 85.45 0.10 0.12% |
| Symbol | Global |
Global X 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Global X's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Global X.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Global X on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Global X SPTSX or generate 0.0% return on investment in Global X over 30 days. Global X is related to or competes with BMO Canadian, BMO Covered, BMO Canadian, and BMO NASDAQ. The fund seeks replicate, to the extent possible, the performance of the SPTSX Capped Financials Index , net of expenses More
Global X Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Global X's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Global X SPTSX upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4899 | |||
| Information Ratio | 0.1501 | |||
| Maximum Drawdown | 2.95 | |||
| Value At Risk | (0.57) | |||
| Potential Upside | 1.39 |
Global X Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global X's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global X's standard deviation. In reality, there are many statistical measures that can use Global X historical prices to predict the future Global X's volatility.| Risk Adjusted Performance | 0.2891 | |||
| Jensen Alpha | 0.1693 | |||
| Total Risk Alpha | 0.1176 | |||
| Sortino Ratio | 0.1819 | |||
| Treynor Ratio | 0.5831 |
Global X SPTSX Backtested Returns
Global X appears to be very steady, given 3 months investment horizon. Global X SPTSX holds Efficiency (Sharpe) Ratio of 0.35, which attests that the entity had a 0.35% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Global X SPTSX, which you can use to evaluate the volatility of the entity. Please utilize Global X's Market Risk Adjusted Performance of 0.5931, coefficient of variation of 261.84, and Risk Adjusted Performance of 0.2891 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 0.37, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Global X's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global X is expected to be smaller as well.
Auto-correlation | 0.93 |
Excellent predictability
Global X SPTSX has excellent predictability. Overlapping area represents the amount of predictability between Global X time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Global X SPTSX price movement. The serial correlation of 0.93 indicates that approximately 93.0% of current Global X price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.93 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 0.62 |
Global X SPTSX lagged returns against current returns
Autocorrelation, which is Global X etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Global X's etf expected returns. We can calculate the autocorrelation of Global X returns to help us make a trade decision. For example, suppose you find that Global X has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Global X regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Global X etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global X etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Global X etf over time.
Current vs Lagged Prices |
| Timeline |
Global X Lagged Returns
When evaluating Global X's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global X etf have on its future price. Global X autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Global X autocorrelation shows the relationship between Global X etf current value and its past values and can show if there is a momentum factor associated with investing in Global X SPTSX.
Regressed Prices |
| Timeline |
Pair Trading with Global X
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Global X position performs unexpectedly, the other equity 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 Global X will appreciate offsetting losses from the drop in the long position's value.Moving together with Global Etf
| 0.99 | ZEB | BMO SPTSX Equal | PairCorr |
| 1.0 | XFN | iShares SPTSX Capped | PairCorr |
| 0.9 | ZBK | BMO Equal Weight | PairCorr |
| 0.97 | HCA | Hamilton Canadian Bank | PairCorr |
| 0.88 | ZUB | BMO Equal Weight | PairCorr |
Moving against Global Etf
| 0.98 | HXD | BetaPro SPTSX 60 | PairCorr |
| 0.93 | HIU | BetaPro SP 500 | PairCorr |
| 0.91 | HQD | BetaPro NASDAQ 100 | PairCorr |
| 0.33 | HUN | Global X Natural | PairCorr |
The ability to find closely correlated positions to Global X could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Global X when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Global X - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Global X SPTSX to buy it.
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 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 SPTSX moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Global X can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Global Etf
Global X financial ratios help investors to determine whether Global Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Global with respect to the benefits of owning Global X security.