Invesco FTSE Correlations

PZW Etf

CAD 37.01 0.10 0.27%

The current 90-days correlation between Invesco FTSE RAFI and BMO Clean Energy is -0.37 (i.e., Very good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco FTSE RAFI moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco FTSE Correlation With Market

Very weak diversification

The correlation between Invesco FTSE RAFI and DJI is 0.52 (i.e., Very weak 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.

The ability to find closely correlated positions to Invesco FTSE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco FTSE when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco FTSE - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco FTSE RAFI to buy it.

Moving together with Invesco Etf

0.77	FHF	First Trust Nasdaq	Pair Corr
0.9	XIU	iShares SPTSX 60	Pair Corr
0.93	XSP	iShares Core SP	Pair Corr
0.89	XIC	iShares Core SPTSX	Pair Corr
0.89	ZCN	BMO SPTSX Capped	Pair Corr
0.91	ZSP	BMO SP 500	Pair Corr
0.91	VFV	Vanguard SP 500	Pair Corr
0.9	ZEB	BMO SPTSX Equal	Pair Corr

Moving against Invesco Etf

0.79	ZCLN	BMO Clean Energy	Pair Corr
0.78	HCLN	Harvest Clean Energy	Pair Corr

Related Correlations Analysis

	ZCLN	HCLN	FHF	ZUAG-U	XHB	EDGF	SOLR	0P0000OXA6	ALA-PA	ECO
ZCLN		0.96	-0.37	0.84	-0.64	0.06	0.66	-0.92	-0.39	0.75	ZCLN
HCLN	0.96		-0.38	0.71	-0.65	0.11	0.7	-0.88	-0.49	0.76	HCLN
FHF	-0.37	-0.38		-0.14	0.8	0.0	-0.51	0.62	0.53	-0.34	FHF
ZUAG-U	0.84	0.71	-0.14		-0.35	-0.08	0.44	-0.75	-0.01	0.54	ZUAG-U
XHB	-0.64	-0.65	0.8	-0.35		0.07	-0.65	0.83	0.6	-0.62	XHB
EDGF	0.06	0.11	0.0	-0.08	0.07		0.18	0.08	-0.3	0.08	EDGF
SOLR	0.66	0.7	-0.51	0.44	-0.65	0.18		-0.72	-0.59	0.5	SOLR
0P0000OXA6	-0.92	-0.88	0.62	-0.75	0.83	0.08	-0.72		0.52	-0.7	0P0000OXA6
ALA-PA	-0.39	-0.49	0.53	-0.01	0.6	-0.3	-0.59	0.52		-0.33	ALA-PA
ECO	0.75	0.76	-0.34	0.54	-0.62	0.08	0.5	-0.7	-0.33		ECO
	ZCLN	HCLN	FHF	ZUAG-U	XHB	EDGF	SOLR	0P0000OXA6	ALA-PA	ECO

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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

HCLN	+ 0.96	ZCLN
ZUAG-U	+ 0.84	ZCLN
0P0000OXA6	+ 0.83	XHB
XHB	+ 0.8	FHF
ECO	+ 0.76	HCLN
ECO	+ 0.75	ZCLN

High negative correlations

0P0000OXA6	- 0.92	ZCLN
0P0000OXA6	- 0.88	HCLN
0P0000OXA6	- 0.75	ZUAG-U
0P0000OXA6	- 0.72	SOLR
ECO	- 0.7	0P0000OXA6
SOLR	- 0.65	XHB

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
ZCLN	0.89	(0.17)	0.00	0.56	0.00	0.00	1.69	(1.92)	7.40
HCLN	1.13	(0.09)	0.00	0.25	0.00	0.00	2.14	(2.53)	8.91
FHF	0.98	0.18	0.10	0.55	0.74	(1.68)	2.91	(2.06)	9.33
ZUAG-U	0.16	(0.07)	0.00	(0.90)	0.00	0.00	0.23	(0.48)	1.84
XHB	0.21	0.02	(0.19)	0.19	0.00	(0.29)	0.51	(0.31)	1.42
EDGF	0.93	(0.01)	(0.04)	0.00	1.27	(1.19)	2.26	(2.49)	6.36
SOLR	8.26	0.37	0.01	(0.11)	10.17	(27.50)	25.00	(25.00)	58.33
0P0000OXA6	0.46	0.13	0.16	0.33	0.25	(0.54)	1.15	(0.80)	4.34
ALA-PA	0.50	0.06	(0.03)	(0.62)	0.58	(0.59)	1.02	(1.06)	3.73
ECO	1.55	0.03	0.00	0.04	0.00	0.00	3.66	(3.00)	10.59

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Our tools can tell you how much better you can do entering a position in Invesco FTSE without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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