Invesco Senior Correlations

VVR Fund

USD 3.55 0.50 12.35%

The correlation of Invesco Senior 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 Senior Correlation With Market

Modest diversification

The correlation between Invesco Senior Income and DJI is 0.21 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Senior Income 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 Senior Income. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as signals in real.

Moving together with Invesco Fund

0.67	KF	Korea Closed	Pair Corr
0.71	EBSIX	Campbell Systematic Macro	Pair Corr
0.67	ARBOX	Absolute Convertible	Pair Corr
0.7	PGLSX	Global Multi Strategy	Pair Corr
0.62	BISMX	Brandes International	Pair Corr
0.75	HTD	John Hancock Tax	Pair Corr
0.76	DBIWX	Dws Global Macro	Pair Corr
0.74	GIOIX	Guggenheim Macro Opp	Pair Corr
0.8	DLDFX	Destinations Low Duration	Pair Corr
0.67	ABNOX	Ab Bond Inflation	Pair Corr
0.63	SGDLX	Sprott Gold Equity	Pair Corr
0.67	UTF	Cohen And Steers	Pair Corr
0.71	HWACX	Hotchkis Wiley Value	Pair Corr

Moving against Invesco Fund

0.56

SPGSX

State Street Premier

Pair Corr

Related Correlations Analysis

	JRO	JFR	MUI	EVF	AFT	BGT	JLS	NSL	PHD	FRA
JRO		0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	JRO
JFR	0.0		0.67	-0.17	0.0	0.38	-0.75	0.0	0.08	0.77	JFR
MUI	0.0	0.67		-0.02	0.0	-0.26	-0.76	0.0	-0.1	0.34	MUI
EVF	0.0	-0.17	-0.02		0.0	0.11	-0.03	0.0	0.67	-0.09	EVF
AFT	0.0	0.0	0.0	0.0		0.0	0.0	0.0	0.0	0.0	AFT
BGT	0.0	0.38	-0.26	0.11	0.0		0.03	0.0	0.5	0.58	BGT
JLS	0.0	-0.75	-0.76	-0.03	0.0	0.03		0.0	0.15	-0.67	JLS
NSL	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	0.0	NSL
PHD	0.0	0.08	-0.1	0.67	0.0	0.5	0.15	0.0		0.14	PHD
FRA	0.0	0.77	0.34	-0.09	0.0	0.58	-0.67	0.0	0.14		FRA
	JRO	JFR	MUI	EVF	AFT	BGT	JLS	NSL	PHD	FRA

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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

FRA	+ 0.77	JFR
MUI	+ 0.67	JFR
PHD	+ 0.67	EVF
FRA	+ 0.58	BGT
PHD	+ 0.5	BGT
BGT	+ 0.38	JFR

High negative correlations

JLS	- 0.76	MUI
JLS	- 0.75	JFR
FRA	- 0.67	JLS
BGT	- 0.26	MUI
EVF	- 0.17	JFR
PHD	- 0.1	MUI

Risk-Adjusted Indicators

There is a big difference between Invesco Fund performing well and Invesco Senior 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 Senior'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
JRO	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
JFR	0.47	(0.06)	0.00	(0.34)	0.00	0.00	0.94	(1.25)	3.46
MUI	0.46	(0.03)	0.00	(0.30)	0.00	0.00	0.73	(1.40)	3.95
EVF	0.33	(0.06)	0.00	(0.69)	0.00	0.00	0.66	(0.82)	1.98
AFT	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
BGT	0.51	(0.05)	0.00	(0.32)	0.00	0.00	1.05	(1.11)	4.09
JLS	0.43	0.04	0.15	0.20	0.59	(0.46)	0.87	(0.80)	2.78
NSL	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
PHD	0.28	(0.03)	0.00	(0.34)	0.00	0.00	0.53	(0.63)	1.69
FRA	0.48	(0.12)	0.00	(0.74)	0.00	0.00	1.02	(1.22)	3.05

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