Invesco Global Correlations

GTNDX Fund

USD 12.55 0.10 0.80%

The current 90-days correlation between Invesco Global Low and Jpmorgan Research Equity is 0.4 (i.e., Very weak diversification). The correlation of Invesco Global 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 Global Correlation With Market

Weak diversification

The correlation between Invesco Global Low and DJI is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Global Low and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Invesco Global Low. 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 unemployment.

Moving together with Invesco Mutual Fund

0.63	OSICX	Oppenheimer Strategic	Pair Corr
0.78	OSMAX	Oppenheimer International	Pair Corr
0.77	OSMCX	Oppenheimer International	Pair Corr
0.72	EMLDX	Invesco Emerging Markets	Pair Corr

Moving against Invesco Mutual Fund

0.49	MLPRX	Oppenheimer Steelpath Mlp	Pair Corr
0.6	MLPAX	Oppenheimer Steelpath Mlp	Pair Corr
0.6	MLPGX	Oppenheimer Steelpath Mlp	Pair Corr
0.6	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr
0.6	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.52	MLPFX	Oppenheimer Steelpath Mlp	Pair Corr
0.52	MLPEX	Steelpath Select	Pair Corr

Related Correlations Analysis

	JEPAX	JEPCX	JEPIX	GSPAX	GSPQX	GSFPX	GIDWX	BMCIX
JEPAX		1.0	1.0	0.96	0.96	0.96	0.96	0.76	JEPAX
JEPCX	1.0		1.0	0.96	0.96	0.96	0.96	0.77	JEPCX
JEPIX	1.0	1.0		0.96	0.96	0.96	0.96	0.77	JEPIX
GSPAX	0.96	0.96	0.96		1.0	1.0	1.0	0.7	GSPAX
GSPQX	0.96	0.96	0.96	1.0		1.0	1.0	0.7	GSPQX
GSFPX	0.96	0.96	0.96	1.0	1.0		1.0	0.7	GSFPX
GIDWX	0.96	0.96	0.96	1.0	1.0	1.0		0.7	GIDWX
BMCIX	0.76	0.77	0.77	0.7	0.7	0.7	0.7		BMCIX
	JEPAX	JEPCX	JEPIX	GSPAX	GSPQX	GSFPX	GIDWX	BMCIX

Click cells to compare fundamentals

Check Volatility

Backtest Portfolio

Risk-Adjusted Indicators

There is a big difference between Invesco Mutual Fund performing well and Invesco Global 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 Global'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
JEPAX	0.32	0.02	(0.12)	0.18	0.14	(0.37)	0.82	(0.61)	2.00
JEPCX	0.32	0.02	(0.13)	0.18	0.14	(0.36)	0.82	(0.61)	1.96
JEPIX	0.32	0.02	(0.12)	0.18	0.16	(0.38)	0.82	(0.63)	2.03
GSPAX	0.42	0.01	(0.05)	0.15	0.48	(0.49)	0.91	(1.05)	2.97
GSPQX	0.42	0.01	(0.06)	0.14	0.49	(0.48)	0.92	(1.00)	2.99
GSFPX	0.42	0.01	(0.05)	0.15	0.48	(0.48)	0.92	(1.05)	3.04
GIDWX	0.42	0.02	(0.05)	0.15	0.48	(0.48)	0.92	(1.00)	2.93
BMCIX	0.43	(0.05)	(0.21)	0.04	0.45	(0.51)	0.76	(0.88)	2.76

Macroaxis helps investors of all levels and skills to maximize the upside of all their holdings and minimize the risk associated with market volatility, economic swings, and company-specific events. View terms and conditions

Feedback Blog

Made with optimal in San Francisco

2024 Macroaxis LLC