Invesco Fundamental Correlations

PHB Etf

USD 18.14 0.06 0.33%

The current 90-days correlation between Invesco Fundamental High and Invesco Emerging Markets is 0.87 (i.e., Very poor diversification). The correlation of Invesco Fundamental 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.

Invesco Fundamental Correlation With Market

Very weak diversification

The correlation between Invesco Fundamental High and DJI is 0.5 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Fundamental High and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Invesco Fundamental High. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in rate.

Moving together with Invesco Etf

0.98	HYG	iShares iBoxx High	Pair Corr
0.97	USHY	iShares Broad USD Sell-off Trend	Pair Corr
0.96	JNK	SPDR Bloomberg High Sell-off Trend	Pair Corr
0.95	SHYG	iShares 0 5	Pair Corr
0.97	HYLB	Xtrackers USD High Sell-off Trend	Pair Corr
0.95	SJNK	SPDR Bloomberg Short Sell-off Trend	Pair Corr
0.96	ANGL	VanEck Fallen Angel	Pair Corr
0.98	FALN	iShares Fallen Angels	Pair Corr
0.91	HYLS	First Trust Tactical	Pair Corr
0.98	HYDW	Xtrackers Low Beta	Pair Corr
0.79	BABX	GraniteShares 175x Long	Pair Corr
0.76	GDXU	MicroSectors Gold Miners	Pair Corr
0.78	XPP	ProShares Ultra FTSE	Pair Corr
0.74	JNUG	Direxion Daily Junior	Pair Corr
0.69	MCD	McDonalds	Pair Corr
0.85	MMM	3M Company	Pair Corr
0.69	CVX	Chevron Corp Sell-off Trend	Pair Corr
0.61	PG	Procter Gamble	Pair Corr
0.78	KO	Coca Cola	Pair Corr
0.69	TRV	The Travelers Companies	Pair Corr
0.85	JNJ	Johnson Johnson	Pair Corr
0.8	CSCO	Cisco Systems	Pair Corr

Moving against Invesco Etf

0.44	WTID	UBS ETRACS	Pair Corr
0.64	MRK	Merck Company	Pair Corr
0.6	MSFT	Microsoft	Pair Corr
0.33	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.04	0.59	-0.54	0.32	0.42	0.26	0.9	-0.75	-0.01	META
MSFT	-0.04		-0.62	0.09	-0.79	0.69	0.89	0.1	0.44	-0.52	MSFT
UBER	0.59	-0.62		-0.35	0.8	-0.25	-0.53	0.53	-0.85	0.54	UBER
F	-0.54	0.09	-0.35		-0.05	-0.04	-0.08	-0.39	0.56	0.31	F
T	0.32	-0.79	0.8	-0.05		-0.57	-0.71	0.17	-0.65	0.58	T
A	0.42	0.69	-0.25	-0.04	-0.57		0.79	0.62	0.1	-0.3	A
CRM	0.26	0.89	-0.53	-0.08	-0.71	0.79		0.33	0.24	-0.58	CRM
JPM	0.9	0.1	0.53	-0.39	0.17	0.62	0.33		-0.63	0.07	JPM
MRK	-0.75	0.44	-0.85	0.56	-0.65	0.1	0.24	-0.63		-0.31	MRK
XOM	-0.01	-0.52	0.54	0.31	0.58	-0.3	-0.58	0.07	-0.31		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.9	META
CRM	+ 0.89	MSFT
T	+ 0.8	UBER
CRM	+ 0.79	A
A	+ 0.69	MSFT
JPM	+ 0.62	A

High negative correlations

MRK	- 0.85	UBER
T	- 0.79	MSFT
MRK	- 0.75	META
CRM	- 0.71	T
MRK	- 0.65	T
MRK	- 0.63	JPM

Invesco Fundamental Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco Fundamental 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 Fundamental'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
META	1.59	0.02	0.00	(0.05)	0.00	0.00	2.57	(3.73)	8.90
MSFT	1.12	(0.15)	0.00	(0.28)	0.00	0.00	2.58	(2.14)	10.31
UBER	1.88	0.41	0.19	0.74	2.06	(2.04)	4.72	(3.13)	12.75
F	1.47	0.07	0.03	0.00	2.22	(1.39)	2.71	(2.89)	10.14
T	1.04	0.26	0.16	0.40	1.61	(1.11)	1.90	(1.75)	11.66
A	1.15	(0.15)	0.00	(0.23)	0.00	0.00	2.92	(2.59)	9.03
CRM	1.38	(0.27)	0.00	(0.31)	0.00	0.00	2.72	(3.81)	8.88
JPM	1.10	0.09	0.05	0.02	1.74	(1.04)	1.99	(3.35)	6.85
MRK	1.17	(0.11)	0.00	1.52	0.00	0.00	2.07	(1.80)	11.58
XOM	1.06	0.11	0.10	0.17	1.39	(1.08)	2.55	(2.36)	5.89

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