Invesco FTSE Correlations

PRFZ Etf

USD 38.56 0.28 0.72%

The current 90-days correlation between Invesco FTSE RAFI and Invesco FTSE RAFI is 0.06 (i.e., Significant diversification). The correlation of Invesco FTSE 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 FTSE Correlation With Market

Poor diversification

The correlation between Invesco FTSE RAFI and DJI is 0.71 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI 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 FTSE RAFI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in census.

Moving together with Invesco Etf

0.99	VB	Vanguard Small Cap	Pair Corr
0.75	IJR	iShares Core SP	Pair Corr
1.0	IWM	iShares Russell 2000	Pair Corr
0.76	VRTIX	Vanguard Russell 2000	Pair Corr
0.76	VTWO	Vanguard Russell 2000	Pair Corr
0.99	FNDA	Schwab Fundamental Small	Pair Corr
0.75	SPSM	SPDR Portfolio SP	Pair Corr
0.76	DFAS	Dimensional Small Cap	Pair Corr
0.75	VIOO	Vanguard SP Small	Pair Corr
0.96	VTI	Vanguard Total Stock	Pair Corr
0.94	SPY	SPDR SP 500	Pair Corr
0.94	IVV	iShares Core SP	Pair Corr
0.96	VUG	Vanguard Growth Index	Pair Corr
0.74	VO	Vanguard Mid Cap	Pair Corr
0.66	WMT	Walmart	Pair Corr
0.79	MSFT	Microsoft	Pair Corr
0.73	BA	Boeing	Pair Corr
0.74	CAT	Caterpillar	Pair Corr
0.9	BAC	Bank of America	Pair Corr
0.91	HD	Home Depot	Pair Corr
0.79	DIS	Walt Disney	Pair Corr

Moving against Invesco Etf

0.65	BND	Vanguard Total Bond	Pair Corr
0.5	VEA	Vanguard FTSE Developed	Pair Corr
0.33	GDXU	MicroSectors Gold Miners	Pair Corr
0.72	VZ	Verizon Communications	Pair Corr
0.71	TRV	The Travelers Companies	Pair Corr
0.68	JNJ	Johnson Johnson	Pair Corr
0.58	T	ATT Inc Earnings Call Tomorrow	Pair Corr
0.39	PG	Procter Gamble	Pair Corr
0.37	XOM	Exxon Mobil Corp	Pair Corr

Related Correlations Analysis

	PRF	PXF	PXH	PDN	PSL
PRF		0.01	0.04	0.08	0.83	PRF
PXF	0.01		0.95	0.99	0.15	PXF
PXH	0.04	0.95		0.97	0.2	PXH
PDN	0.08	0.99	0.97		0.2	PDN
PSL	0.83	0.15	0.2	0.2		PSL
	PRF	PXF	PXH	PDN	PSL

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Invesco FTSE Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco FTSE 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 FTSE'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
PRF	0.62	(0.01)	0.07	(0.91)	0.82	(0.61)	1.17	(1.34)	3.48
PXF	0.64	0.18	0.32	(20.67)	0.51	(0.76)	1.51	(1.07)	4.38
PXH	0.79	0.11	0.18	(1.43)	0.83	(0.87)	1.83	(1.63)	5.59
PDN	0.64	0.13	0.25	(3.08)	0.60	(0.72)	1.40	(1.19)	4.67
PSL	0.77	(0.02)	0.00	(0.09)	0.00	0.00	1.56	(1.59)	4.31

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