Invesco Active Correlations

PSR Etf

USD 95.03 0.63 0.67%

The current 90-days correlation between Invesco Active Real and First Trust SP is 0.99 (i.e., No risk reduction). The correlation of Invesco Active 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 Active Correlation With Market

Weak diversification

The correlation between Invesco Active Real and DJI is 0.35 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Active Real 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 Active Real. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in state.

Moving together with Invesco Etf

0.99	VNQ	Vanguard Real Estate	Pair Corr
0.78	HHH	Howard Hughes	Pair Corr
0.94	XLRE	Real Estate	Pair Corr
0.99	IYR	iShares Real Estate	Pair Corr
1.0	ICF	iShares Cohen Steers Low Volatility	Pair Corr
0.99	USRT	iShares Core REIT	Pair Corr
0.92	IRET	iREIT MarketVector	Pair Corr
0.71	PMBS	PIMCO Mortgage Backed	Pair Corr
0.81	PFFL	ETRACS 2xMonthly Pay	Pair Corr
0.83	YCL	ProShares Ultra Yen Potential Growth	Pair Corr
0.76	FXY	Invesco CurrencyShares	Pair Corr
0.77	ULE	ProShares Ultra Euro	Pair Corr
0.63	INTC	Intel	Pair Corr
0.74	HPQ	HP Inc	Pair Corr
0.87	PG	Procter Gamble	Pair Corr
0.89	VZ	Verizon Communications Sell-off Trend	Pair Corr
0.65	HD	Home Depot	Pair Corr
0.83	TRV	The Travelers Companies	Pair Corr
0.62	CVX	Chevron Corp	Pair Corr

Moving against Invesco Etf

0.57

PFE

Pfizer Inc

Pair Corr

Related Correlations Analysis

	FRI	REZ	ROOF	EWRE	NURE
FRI		0.96	0.0	0.0	0.9	FRI
REZ	0.96		0.0	0.0	0.82	REZ
ROOF	0.0	0.0		0.0	0.0	ROOF
EWRE	0.0	0.0	0.0		0.0	EWRE
NURE	0.9	0.82	0.0	0.0		NURE
	FRI	REZ	ROOF	EWRE	NURE

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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

REZ	+ 0.96	FRI
NURE	+ 0.9	FRI
NURE	+ 0.82	REZ
ROOF	+ 0.0	FRI
EWRE	+ 0.0	FRI
ROOF	+ 0.0	REZ

High negative correlations

NURE	- 0.0	EWRE
NURE	- 0.0	ROOF
EWRE	- 0.0	ROOF
EWRE	- 0.0	REZ
ROOF	- 0.0	REZ
EWRE	- 0.0	FRI

Invesco Active Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco Active 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 Active'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
FRI	0.73	(0.01)	0.00	(0.04)	0.00	0.00	1.35	(1.56)	5.03
REZ	0.86	0.01	0.02	0.01	1.12	(0.90)	1.73	(1.73)	4.55
ROOF	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
EWRE	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
NURE	0.78	(0.03)	0.00	(0.09)	0.00	0.00	1.26	(1.71)	5.16

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