SGI Dynamic Correlations

DYTA Etf

28.49 0.40 1.42%

The current 90-days correlation between SGI Dynamic Tactical and VanEck Robotics ETF is 0.74 (i.e., Poor diversification). The correlation of SGI Dynamic 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 correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

SGI Dynamic Correlation With Market

Very weak diversification

The correlation between SGI Dynamic Tactical and DJI is 0.41 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding SGI Dynamic Tactical and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in SGI Dynamic Tactical. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in estimate.

Moving together with SGI Etf

0.91	AOA	iShares Core Aggressive	Pair Corr
0.89	GAL	SPDR SSgA Global	Pair Corr
0.62	PPI	Investment Managers	Pair Corr
0.76	GAA	Cambria Global Asset	Pair Corr
0.87	FCEF	First Trust Income	Pair Corr
0.65	ETHT	ProShares Trust Upward Rally	Pair Corr
0.7	IGV	iShares Expanded Tech	Pair Corr

Moving against SGI Etf

0.44	WTID	UBS ETRACS	Pair Corr
0.35	BNO	United States Brent	Pair Corr
0.32	GSG	iShares SP GSCI	Pair Corr

Related Correlations Analysis

	IBOT	UTWY	DVAL	COWG	NIKL
IBOT		0.58	0.64	0.21	0.4	IBOT
UTWY	0.58		0.66	-0.17	0.77	UTWY
DVAL	0.64	0.66		0.31	0.42	DVAL
COWG	0.21	-0.17	0.31		-0.66	COWG
NIKL	0.4	0.77	0.42	-0.66		NIKL
	IBOT	UTWY	DVAL	COWG	NIKL

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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

NIKL	+ 0.77	UTWY
DVAL	+ 0.66	UTWY
DVAL	+ 0.64	IBOT
UTWY	+ 0.58	IBOT
NIKL	+ 0.42	DVAL
NIKL	+ 0.4	IBOT

High negative correlations

NIKL	- 0.66	COWG
COWG	- 0.17	UTWY

SGI Dynamic Constituents Risk-Adjusted Indicators

There is a big difference between SGI Etf performing well and SGI Dynamic 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 SGI Dynamic'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
IBOT	0.88	(0.05)	0.00	(0.16)	0.00	0.00	1.56	(1.79)	4.33
UTWY	0.53	(0.09)	0.00	(0.56)	0.00	0.00	1.08	(1.19)	3.12
DVAL	0.63	(0.02)	0.00	(0.04)	0.00	0.00	1.19	(1.01)	6.39
COWG	0.85	0.15	0.10	0.29	1.07	(0.83)	2.15	(1.55)	6.88
NIKL	1.02	(0.34)	0.00	(0.72)	0.00	0.00	2.01	(2.30)	6.82

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