Invesco Value Correlations
| VVONX Fund | USD 21.52 0.32 1.47% |
The current 90-days correlation between Invesco Value Opport and Financials Ultrasector Profund is -0.02 (i.e., Good diversification). The correlation of Invesco Value 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 Value Correlation With Market
Poor diversification
The correlation between Invesco Value Opportunities and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Value Opportunities and DJI in the same portfolio, assuming nothing else is changed.
Invesco |
Moving together with Invesco Mutual Fund
| 0.84 | OARDX | Oppenheimer Rising | PairCorr |
| 0.67 | PXGGX | Invesco Select Risk | PairCorr |
| 0.9 | OTFCX | Oppenheimer Target | PairCorr |
| 0.77 | PXMQX | Invesco Select Risk | PairCorr |
| 0.78 | PXMSX | Invesco Select Risk | PairCorr |
| 0.86 | DIGGX | Invesco Discovery | PairCorr |
| 0.62 | PXMMX | Invesco Select Risk | PairCorr |
| 0.85 | PXQIX | Invesco Select Risk | PairCorr |
| 0.86 | OCAIX | Oppenheimer Aggrssv | PairCorr |
Moving against Invesco Mutual Fund
| 0.53 | STBCX | Invesco Short Term | PairCorr |
| 0.5 | STBRX | Invesco Short Term | PairCorr |
| 0.49 | STBAX | Invesco Short Term | PairCorr |
| 0.48 | STBYX | Invesco Short Term | PairCorr |
| 0.43 | EMLDX | Invesco Emerging Markets | PairCorr |
| 0.39 | STMUX | Invesco Short Term | PairCorr |
Related Correlations Analysis
| 0.92 | 0.16 | 0.23 | 0.0 | 0.0 | FNPIX | ||
| 0.92 | 0.13 | 0.29 | 0.0 | 0.0 | SBFAX | ||
| 0.16 | 0.13 | 0.59 | 0.0 | 0.0 | QCMMIX | ||
| 0.23 | 0.29 | 0.59 | 0.0 | 0.0 | SWGXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | AEYXX | ||
| 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | IVMXX | ||
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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
| High negative correlations
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Risk-Adjusted Indicators
There is a big difference between Invesco Mutual Fund performing well and Invesco Value 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 Value'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| FNPIX | 1.26 | 0.04 | 0.02 | (0.40) | 1.89 | 2.66 | 9.08 | |||
| SBFAX | 0.72 | 0.05 | 0.05 | 0.06 | 0.94 | 1.69 | 5.22 | |||
| QCMMIX | 0.02 | 0.01 | 0.00 | (6.00) | 0.00 | 0.03 | 0.03 | |||
| SWGXX | 0.03 | 0.01 | 0.00 | (3.12) | 0.00 | 0.00 | 1.01 | |||
| AEYXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| IVMXX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |