Invesco Fundamental Correlations

PHB Etf

USD 18.31 0.05 0.27%

The current 90-days correlation between Invesco Fundamental High and Invesco Emerging Markets is 0.9 (i.e., Almost no 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

Weak diversification

The correlation between Invesco Fundamental High and DJI is 0.39 (i.e., 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

0.94	HYG	iShares iBoxx High	Pair Corr
0.93	USHY	iShares Broad USD	Pair Corr
0.95	JNK	SPDR Bloomberg High	Pair Corr
0.85	SHYG	iShares 0 5	Pair Corr
0.93	HYLB	Xtrackers USD High	Pair Corr
0.87	SJNK	SPDR Bloomberg Short	Pair Corr
0.98	ANGL	VanEck Fallen Angel	Pair Corr
0.98	FALN	iShares Fallen Angels	Pair Corr
0.93	HYLS	First Trust Tactical	Pair Corr
0.96	HYDW	Xtrackers Low Beta	Pair Corr
0.76	MLPR	ETRACS Quarterly Pay	Pair Corr
0.64	ATMP	Barclays ETN Select Low Volatility	Pair Corr
0.63	RXI	iShares Global Consumer	Pair Corr
0.63	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.79	T	ATT Inc Aggressive Push	Pair Corr
0.67	JPM	JPMorgan Chase	Pair Corr
0.69	CSCO	Cisco Systems	Pair Corr
0.63	WMT	Walmart Aggressive Push	Pair Corr
0.74	IBM	International Business Sell-off Trend	Pair Corr
0.72	GE	GE Aerospace	Pair Corr

Moving against Invesco Etf

0.71	YCS	ProShares UltraShort Yen	Pair Corr
0.41	USD	ProShares Ultra Semi	Pair Corr
0.31	MSFT	Microsoft	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.44	0.59	-0.64	0.75	0.3	-0.21	0.85	-0.83	-0.29	META
MSFT	-0.44		-0.65	0.39	-0.6	0.27	0.76	-0.51	0.62	-0.09	MSFT
UBER	0.59	-0.65		-0.2	0.75	-0.09	-0.53	0.74	-0.76	0.39	UBER
F	-0.64	0.39	-0.2		-0.38	0.04	0.44	-0.39	0.64	0.72	F
T	0.75	-0.6	0.75	-0.38		-0.17	-0.42	0.69	-0.78	0.07	T
A	0.3	0.27	-0.09	0.04	-0.17		0.3	0.44	0.04	-0.13	A
CRM	-0.21	0.76	-0.53	0.44	-0.42	0.3		-0.31	0.47	0.01	CRM
JPM	0.85	-0.51	0.74	-0.39	0.69	0.44	-0.31		-0.79	0.01	JPM
MRK	-0.83	0.62	-0.76	0.64	-0.78	0.04	0.47	-0.79		0.12	MRK
XOM	-0.29	-0.09	0.39	0.72	0.07	-0.13	0.01	0.01	0.12		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	+ 0.85	META
CRM	+ 0.76	MSFT
T	+ 0.75	META
T	+ 0.75	UBER
JPM	+ 0.74	UBER
XOM	+ 0.72	F

High negative correlations

MRK	- 0.83	META
MRK	- 0.79	JPM
MRK	- 0.78	T
MRK	- 0.76	UBER
UBER	- 0.65	MSFT
F	- 0.64	META

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	1.36	0.28	0.17	0.57	1.44	(1.42)	3.22	(2.29)	7.11
MSFT	1.03	(0.05)	0.00	(0.16)	0.00	0.00	2.20	(1.90)	10.31
UBER	1.95	0.16	0.06	3.78	2.78	(1.95)	4.72	(3.13)	12.29
F	1.35	(0.11)	0.00	(0.13)	0.00	0.00	2.55	(2.89)	10.97
T	0.94	0.30	0.27	0.50	0.88	(1.12)	1.90	(1.75)	7.94
A	1.07	(0.03)	0.00	(0.07)	0.00	0.00	2.81	(2.16)	9.03
CRM	1.45	(0.15)	0.00	(0.22)	0.00	0.00	2.21	(3.81)	15.92
JPM	0.89	0.14	0.11	0.15	1.16	(0.97)	1.97	(1.51)	6.85
MRK	1.26	(0.10)	0.00	(2.54)	0.00	0.00	2.15	(2.24)	11.57
XOM	0.91	(0.12)	0.00	(0.25)	0.00	0.00	1.76	(2.14)	5.69

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