Invesco Global Correlations

GTNDX Fund

USD 12.45 0.03 0.24%

The current 90-days correlation between Invesco Global Low and Virtus Real Estate is -0.05 (i.e., Good diversification). The correlation of Invesco Global 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Invesco Global Correlation With Market

Good diversification

The correlation between Invesco Global Low and DJI is -0.04 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Global Low and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Invesco Global Low. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with Invesco Mutual Fund

0.84	VGTSX	Vanguard Total Inter	Pair Corr
0.84	VTIAX	Vanguard Total Inter	Pair Corr
0.61	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr

Moving against Invesco Mutual Fund

0.66	JPM	JPMorgan Chase Sell-off Trend	Pair Corr
0.58	BAC	Bank of America Aggressive Push	Pair Corr
0.49	DIS	Walt Disney Aggressive Push	Pair Corr
0.38	WMT	Walmart Aggressive Push	Pair Corr
0.36	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.34	SAGAX	Ridgeworth Innovative	Pair Corr

Related Correlations Analysis

	PHRAX	GURPX	CREYX	JYEBX	FIKMX	TIREX
PHRAX		0.97	0.99	0.96	0.72	0.9	PHRAX
GURPX	0.97		0.98	0.9	0.77	0.95	GURPX
CREYX	0.99	0.98		0.94	0.75	0.9	CREYX
JYEBX	0.96	0.9	0.94		0.54	0.77	JYEBX
FIKMX	0.72	0.77	0.75	0.54		0.8	FIKMX
TIREX	0.9	0.95	0.9	0.77	0.8		TIREX
	PHRAX	GURPX	CREYX	JYEBX	FIKMX	TIREX

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Risk-Adjusted Indicators

There is a big difference between Invesco Mutual Fund performing well and Invesco Global Mutual Fund 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 Invesco Global'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
PHRAX	0.67	0.07	(0.03)	0.60	0.71	(0.77)	1.23	(1.27)	3.61
GURPX	0.60	0.04	(0.07)	0.33	0.63	(0.69)	1.24	(1.10)	3.21
CREYX	0.68	0.05	(0.04)	0.36	0.75	(0.74)	1.31	(1.31)	3.61
JYEBX	0.66	0.06	(0.02)	0.35	0.75	(0.69)	1.22	(1.15)	3.51
FIKMX	0.22	0.02	(0.32)	1.57	0.21	(0.24)	0.49	(0.41)	1.22
TIREX	0.70	0.04	(0.07)	0.50	0.79	(0.76)	1.25	(1.36)	3.56

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