Global X Sp Etf Market Value
| HXS Etf | CAD 85.45 0.36 0.42% |
| 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.
| 12/04/2022 |
| 11/23/2024 |
If you would invest 0.00 in Global X on December 4, 2022 and sell it all today you would earn a total of 0.00 from holding Global X SP or generate 0.0% return on investment in Global X over 720 days. Global X is related to or competes with Global X, Vanguard FTSE, Global X, IShares SPTSX, and Global X. HORIZONS is traded on Toronto Stock Exchange in Canada. 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 SP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7528 | |||
| Information Ratio | 0.0114 | |||
| Maximum Drawdown | 4.41 | |||
| Value At Risk | (1.14) | |||
| Potential Upside | 1.16 |
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 | 0.1421 | |||
| Jensen Alpha | 0.0796 | |||
| Total Risk Alpha | 0.0111 | |||
| Sortino Ratio | 0.0113 | |||
| Treynor Ratio | 0.314 |
Global X SP Backtested Returns
As of now, Global Etf is very steady. Global X SP holds Efficiency (Sharpe) Ratio of 0.21, which attests that the entity had a 0.21% return per unit of risk over the last 3 months. We have found thirty technical indicators for Global X SP, which you can use to evaluate the volatility of the entity. Please check out Global X's Market Risk Adjusted Performance of 0.324, risk adjusted performance of 0.1421, and Downside Deviation of 0.7528 to validate if the risk estimate we provide is consistent with the expected return of 0.16%. The etf retains a Market Volatility (i.e., Beta) of 0.41, 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 | 0.89 |
Very good predictability
Global X SP has very good predictability. Overlapping area represents the amount of predictability between Global X time series from 4th of December 2022 to 29th of November 2023 and 29th of November 2023 to 23rd 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 SP price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Global X price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 35.23 |
Global X SP 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 SP.
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
| 0.97 | XSP | iShares Core SP | PairCorr |
| 1.0 | ZSP | BMO SP 500 | PairCorr |
| 1.0 | VFV | Vanguard SP 500 | PairCorr |
| 1.0 | XUS | iShares Core SP | 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 SP 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 SP 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.Check out Global X Correlation, Global X Volatility and Global X Alpha and Beta module to complement your research on Global X. You can also try the Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Global X technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.