Invesco RAFI Correlations

IUS Etf

USD 49.13 0.88 1.82%

The current 90-days correlation between Invesco RAFI Strategic and Invesco International BuyBack is -0.02 (i.e., Good diversification). The correlation of Invesco RAFI 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 RAFI Correlation With Market

Poor diversification

The correlation between Invesco RAFI Strategic and DJI is 0.77 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco RAFI Strategic 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 RAFI Strategic. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in employment.

Moving together with Invesco Etf

0.91	VTV	Vanguard Value Index	Pair Corr
0.88	VYM	Vanguard High Dividend	Pair Corr
0.95	IWD	iShares Russell 1000	Pair Corr
0.89	DGRO	iShares Core Dividend	Pair Corr
0.95	IVE	iShares SP 500	Pair Corr
0.83	DVY	iShares Select Dividend	Pair Corr
0.95	SPYV	SPDR Portfolio SP	Pair Corr
0.96	IUSV	iShares Core SP	Pair Corr
0.73	AXP	American Express	Pair Corr
0.61	HPQ	HP Inc	Pair Corr
0.76	WMT	Walmart	Pair Corr
0.77	JPM	JPMorgan Chase	Pair Corr
0.81	HD	Home Depot	Pair Corr

Moving against Invesco Etf

0.52	WTID	UBS ETRACS	Pair Corr
0.32	MRK	Merck Company Sell-off Trend	Pair Corr

Related Correlations Analysis

	IPKW	VRIG	FYT	FAD	RNDV
IPKW		0.87	-0.67	-0.41	0.37	IPKW
VRIG	0.87		-0.8	-0.47	0.11	VRIG
FYT	-0.67	-0.8		0.84	0.36	FYT
FAD	-0.41	-0.47	0.84		0.53	FAD
RNDV	0.37	0.11	0.36	0.53		RNDV
	IPKW	VRIG	FYT	FAD	RNDV

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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

VRIG	+ 0.87	IPKW
FAD	+ 0.84	FYT
RNDV	+ 0.53	FAD
RNDV	+ 0.37	IPKW
RNDV	+ 0.36	FYT
RNDV	+ 0.11	VRIG

High negative correlations

FYT	- 0.8	VRIG
FYT	- 0.67	IPKW
FAD	- 0.47	VRIG
FAD	- 0.41	IPKW

Invesco RAFI Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco RAFI 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 Invesco RAFI'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
IPKW	0.72	0.17	0.32	(4.13)	0.76	(0.79)	1.63	(1.43)	5.08
VRIG	0.03	0.00	0.00	0.00	0.00	0.00	0.08	(0.04)	0.12
FYT	0.83	(0.17)	0.00	(0.36)	0.00	0.00	1.15	(2.04)	4.65
FAD	1.02	(0.12)	0.00	(0.27)	0.00	0.00	1.47	(3.22)	5.20
RNDV	0.67	(0.03)	0.00	(0.19)	0.00	0.00	1.08	(1.53)	3.97

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