Invesco Low Correlations

SCAYX Fund

USD 10.98 0.08 0.73%

The current 90-days correlation between Invesco Low Volatility and Intermediate Term Tax Free Bond is 0.21 (i.e., Modest diversification). The correlation of Invesco Low 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 Low Correlation With Market

Poor diversification

The correlation between Invesco Low Volatility and DJI is 0.74 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Low Volatility and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Invesco Low Volatility. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in manufacturing.

Moving together with Invesco Mutual Fund

0.77	ILAAX	Invesco Income Allocation	Pair Corr
0.75	PXGGX	Invesco Select Risk	Pair Corr
0.68	OTFCX	Oppenheimer Target	Pair Corr
0.96	PXMQX	Invesco Select Risk	Pair Corr
0.96	PXMSX	Invesco Select Risk	Pair Corr
0.96	PXMMX	Invesco Select Risk	Pair Corr
0.75	PXQIX	Invesco Select Risk	Pair Corr
0.73	OCAIX	Oppenheimer Aggrssv	Pair Corr

Related Correlations Analysis

	TWTIX	TUGXX	FICMX	ICAXX	UGSFX	SNCAX	RGVCX	VSIGX
TWTIX		0.0	0.88	0.0	0.85	0.98	0.85	0.82	TWTIX
TUGXX	0.0		0.0	0.0	0.0	0.0	0.0	0.0	TUGXX
FICMX	0.88	0.0		0.0	0.99	0.9	1.0	0.99	FICMX
ICAXX	0.0	0.0	0.0		0.0	0.0	0.0	0.0	ICAXX
UGSFX	0.85	0.0	0.99	0.0		0.87	1.0	1.0	UGSFX
SNCAX	0.98	0.0	0.9	0.0	0.87		0.87	0.85	SNCAX
RGVCX	0.85	0.0	1.0	0.0	1.0	0.87		0.99	RGVCX
VSIGX	0.82	0.0	0.99	0.0	1.0	0.85	0.99		VSIGX
	TWTIX	TUGXX	FICMX	ICAXX	UGSFX	SNCAX	RGVCX	VSIGX

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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

RGVCX	+ 1.0	FICMX
RGVCX	+ 1.0	UGSFX
VSIGX	+ 1.0	UGSFX
UGSFX	+ 0.99	FICMX
VSIGX	+ 0.99	FICMX
VSIGX	+ 0.99	RGVCX

High negative correlations

VSIGX	- 0.0	ICAXX
RGVCX	- 0.0	ICAXX
SNCAX	- 0.0	ICAXX
UGSFX	- 0.0	ICAXX
ICAXX	- 0.0	FICMX
VSIGX	- 0.0	TUGXX

Risk-Adjusted Indicators

There is a big difference between Invesco Mutual Fund performing well and Invesco Low Mutual Fund 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 Low'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
TWTIX	0.15	(0.02)	0.00	(0.66)	0.00	0.00	0.37	(0.37)	0.94
TUGXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
FICMX	0.27	0.00	0.28	(0.19)	0.32	(0.31)	0.58	(0.46)	1.50
ICAXX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
UGSFX	0.26	0.00	0.32	(0.01)	0.28	(0.31)	0.60	(0.43)	1.55
SNCAX	0.13	(0.02)	0.00	(0.63)	0.00	0.00	0.29	(0.29)	0.73
RGVCX	0.25	0.00	0.33	(0.05)	0.27	(0.31)	0.51	(0.42)	1.38
VSIGX	0.21	0.00	0.43	0.10	0.20	(0.28)	0.46	(0.40)	1.24

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