Invesco DB Correlations

DBC Etf

USD 22.47 0.10 0.44%

The current 90-days correlation between Invesco DB Commodity and iShares SP GSCI is 0.96 (i.e., Almost no diversification). The correlation of Invesco DB 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.

Invesco DB Correlation With Market

Significant diversification

The correlation between Invesco DB Commodity and DJI is 0.05 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Commodity and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Invesco DB Commodity. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics.

Moving together with Invesco Etf

1.0	PDBC	Invesco Optimum Yield	Pair Corr
0.82	FTGC	First Trust Global	Pair Corr
0.95	COMT	iShares GSCI Commodity	Pair Corr
0.9	GSG	iShares SP GSCI	Pair Corr
0.93	DJP	iPath Bloomberg Commodity	Pair Corr
0.93	BCI	abrdn Bloomberg All	Pair Corr
0.96	CMDY	iShares Bloomberg Roll	Pair Corr
0.93	COMB	GraniteShares Bloomberg	Pair Corr

Moving against Invesco Etf

0.41	PMBS	PIMCO Mortgage Backed	Pair Corr
0.41	IGV	iShares Expanded Tech	Pair Corr

Related Correlations Analysis

	DBA	GSG	DBB	DJP	MOO
DBA		0.52	-0.65	0.36	-0.7	DBA
GSG	0.52		-0.29	0.94	-0.39	GSG
DBB	-0.65	-0.29		-0.05	0.84	DBB
DJP	0.36	0.94	-0.05		-0.17	DJP
MOO	-0.7	-0.39	0.84	-0.17		MOO
	DBA	GSG	DBB	DJP	MOO

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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

DJP	+ 0.94	GSG
MOO	+ 0.84	DBB
GSG	+ 0.52	DBA
DJP	+ 0.36	DBA

High negative correlations

MOO	- 0.7	DBA
DBB	- 0.65	DBA
MOO	- 0.39	GSG
DBB	- 0.29	GSG
MOO	- 0.17	DJP
DJP	- 0.05	DBB

Invesco DB Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco DB 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 DB'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
DBA	0.64	0.10	0.10	(8.43)	0.66	(0.70)	1.22	(1.46)	4.03
GSG	0.77	0.09	0.07	4.78	0.81	(0.92)	1.80	(1.53)	4.39
DBB	0.77	(0.04)	0.00	(0.21)	0.00	0.00	1.22	(1.42)	6.25
DJP	0.66	0.08	0.07	(1.26)	0.73	(0.69)	1.74	(1.20)	3.57
MOO	0.63	(0.09)	0.00	(0.37)	0.00	0.00	1.00	(1.39)	4.55

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