Correlation Analysis Between Global X and SPTSX Comp

This module allows you to analyze existing cross correlation between Global X Internet of Things ETF and SPTSX Comp. You can compare the effects of market volatilities on Global X and SPTSX Comp 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 SPTSX Comp. See also your portfolio center. Please also check ongoing floating volatility patterns of Global X and SPTSX Comp.
Horizon     30 Days    Login   to change
Symbolsvs
Compare Efficiency

Comparative Performance

 Predicted Return Density 
      Returns 

Global X Internet of Things ET  vs.  SPTSX Comp

 Performance (%) 
      Timeline 

Pair Volatility

Given the investment horizon of 30 days, Global X is expected to generate 1.22 times less return on investment than SPTSX Comp. In addition to that, Global X is 2.66 times more volatile than SPTSX Comp. It trades about 0.06 of its total potential returns per unit of risk. SPTSX Comp is currently generating about 0.21 per unit of volatility. If you would invest  1,606,790  in SPTSX Comp on March 26, 2019 and sell it today you would earn a total of  51,860  from holding SPTSX Comp or generate 3.23% return on investment over 30 days.

Pair Corralation between Global X and SPTSX Comp

0.61
Time Period2 Months [change]
DirectionPositive 
StrengthSignificant
Accuracy91.67%
ValuesDaily Returns

Diversification Opportunities for Global X and SPTSX Comp

Global X Internet of Things ET diversification synergy

Poor diversification

Overlapping area represents the amount of risk that can be diversified away by holding Global X Internet of Things ET and SPTSX Comp in the same portfolio assuming nothing else is changed. The correlation between historical prices or returns on SPTSX Comp 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 Internet of Things ETF are associated (or correlated) with SPTSX Comp. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SPTSX Comp has no effect on the direction of Global X i.e. Global X and SPTSX Comp go up and down completely randomly.
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See also your portfolio center. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.


 
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