Invesco SPTSX Correlations

ICAE Etf

27.30 0.02 0.07%

The current 90-days correlation between Invesco SPTSX Canadian and CI MidCap Dividend is 0.38 (i.e., Weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco SPTSX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco SPTSX Canadian moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco SPTSX Correlation With Market

Modest diversification

The correlation between Invesco SPTSX Canadian and DJI is 0.23 (i.e., Modest diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco SPTSX Canadian and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Invesco SPTSX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco SPTSX when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco SPTSX - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco SPTSX Canadian to buy it.

Moving together with Invesco Etf

0.94	ZWC	BMO Canadian High	Pair Corr
0.94	XDV	iShares Canadian Select	Pair Corr
0.9	CDZ	iShares SPTSX Canadian	Pair Corr
0.63	PDC	Invesco Canadian Dividend	Pair Corr
0.91	XEI	iShares SPTSX Composite	Pair Corr
0.96	VDY	Vanguard FTSE Canadian	Pair Corr
0.96	ZDV	BMO Canadian Dividend	Pair Corr
0.94	DGRC	CI Canada Quality	Pair Corr
0.73	CDIV	Manulife Smart Dividend	Pair Corr
0.92	HXH	Global X Canadian	Pair Corr
0.71	HGU	BetaPro Canadian Gold	Pair Corr
0.76	HFU	BetaPro SPTSX Capped	Pair Corr
0.68	ZGD	BMO Equal Weight	Pair Corr
0.64	ZJG	BMO Junior Gold	Pair Corr
0.77	EBNK	Evolve European Banks	Pair Corr
0.9	HLIT	Global X Lithium	Pair Corr
0.96	XCV	iShares Canadian Value	Pair Corr
0.9	VVL	Vanguard Global Value	Pair Corr
0.69	MXF	CI First Asset	Pair Corr
0.79	HLPR	Global X Laddered	Pair Corr
0.71	HXU	BetaPro SP TSX	Pair Corr
0.82	BFIN	Brompton North American	Pair Corr
0.73	CIC	CI Canadian Banks	Pair Corr
0.77	PXC	Invesco RAFI Canadian	Pair Corr
0.92	FCMI	Fidelity Canadian Monthly	Pair Corr
0.94	QCE	Mackenzie Canadian Large	Pair Corr
0.93	FIE	iShares Canadian Fin	Pair Corr

Moving against Invesco Etf

0.61

HURA

Global X Uranium

Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.66	0.53	-0.61	0.51	-0.55	0.22	-0.16	-0.53	-0.6	META
MSFT	0.66		0.83	-0.52	0.37	-0.19	0.05	-0.34	-0.77	-0.61	MSFT
UBER	0.53	0.83		-0.61	0.56	-0.23	-0.18	-0.32	-0.85	-0.6	UBER
F	-0.61	-0.52	-0.61		-0.69	0.49	0.32	0.44	0.68	0.75	F
T	0.51	0.37	0.56	-0.69		-0.45	-0.53	-0.26	-0.51	-0.48	T
A	-0.55	-0.19	-0.23	0.49	-0.45		-0.2	-0.27	0.4	0.19	A
CRM	0.22	0.05	-0.18	0.32	-0.53	-0.2		0.41	0.11	0.2	CRM
JPM	-0.16	-0.34	-0.32	0.44	-0.26	-0.27	0.41		0.38	0.44	JPM
MRK	-0.53	-0.77	-0.85	0.68	-0.51	0.4	0.11	0.38		0.66	MRK
XOM	-0.6	-0.61	-0.6	0.75	-0.48	0.19	0.2	0.44	0.66		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

UBER	+ 0.83	MSFT
XOM	+ 0.75	F
MRK	+ 0.68	F
MSFT	+ 0.66	META
XOM	+ 0.66	MRK
T	+ 0.56	UBER

High negative correlations

MRK	- 0.85	UBER
MRK	- 0.77	MSFT
T	- 0.69	F
F	- 0.61	UBER
XOM	- 0.61	MSFT
F	- 0.61	META

Invesco SPTSX Competition Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco SPTSX 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 SPTSX'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
META	1.38	(0.27)	0.00	(0.20)	0.00	0.00	2.30	(2.72)	13.52
MSFT	0.90	(0.11)	0.00	(0.11)	0.00	0.00	1.78	(2.50)	5.08
UBER	1.46	(0.35)	0.00	(0.25)	0.00	0.00	2.60	(3.82)	10.51
F	1.51	0.13	0.08	0.16	1.68	(1.65)	3.38	(2.63)	16.30
T	0.95	(0.22)	0.00	(0.71)	0.00	0.00	1.61	(2.18)	5.75
A	1.23	0.08	0.06	0.15	1.26	(1.33)	2.34	(2.21)	11.03
CRM	1.54	0.05	0.03	0.13	1.98	(1.51)	3.66	(2.92)	9.91
JPM	1.05	(0.02)	0.00	0.06	1.39	(1.07)	2.00	(1.91)	7.02
MRK	1.44	0.40	0.28	0.54	1.07	(1.80)	4.85	(2.06)	11.45
XOM	0.94	0.05	(0.01)	0.28	0.98	(1.01)	1.96	(1.51)	4.99

Be your own money manager

Our tools can tell you how much better you can do entering a position in Invesco SPTSX without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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