Invesco Managed Correlations

IMF Etf

48.47 0.21 0.44%

The current 90-days correlation between Invesco Managed Futures and WisdomTree Managed Futures is 0.62 (i.e., Poor diversification). The correlation of Invesco Managed 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 Managed Correlation With Market

Very poor diversification

The correlation between Invesco Managed Futures and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Managed Futures and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Invesco Etf

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Invesco Managed Futures. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors.

Moving together with Invesco Etf

0.8	VTI	Vanguard Total Stock	Pair Corr
0.77	SPY	SPDR SP 500	Pair Corr
0.77	IVV	iShares Core SP	Pair Corr
0.96	VTV	Vanguard Value Index	Pair Corr
0.87	VO	Vanguard Mid Cap	Pair Corr
0.98	VEA	Vanguard FTSE Developed Aggressive Push	Pair Corr
0.91	VB	Vanguard Small Cap	Pair Corr
0.85	VWO	Vanguard FTSE Emerging	Pair Corr
0.9	GLDX	USCF Gold Strategy	Pair Corr
0.65	HBTA	Horizon Funds	Pair Corr
0.86	AAIAX	AMERICAN BEACON INTE	Pair Corr
0.88	FDV	First Trust Capital	Pair Corr
0.9	TRSY	Xtrackers 0 1	Pair Corr
0.94	GAL	SPDR SSgA Global	Pair Corr
0.87	XOM	Exxon Mobil Corp Earnings Call Today	Pair Corr
0.78	MRK	Merck Company Earnings Call This Week	Pair Corr
0.78	CVX	Chevron Corp Earnings Call Today	Pair Corr
0.77	WMT	Walmart Common Stock	Pair Corr
0.68	INTC	Intel	Pair Corr
0.89	BA	Boeing	Pair Corr
0.8	DD	Dupont De Nemours Sell-off Trend	Pair Corr

Moving against Invesco Etf

0.55	GAICX	GATEWAY INTERNATIONAL	Pair Corr
0.81	HPQ	HP Inc	Pair Corr
0.77	T	ATT Inc Earnings Call This Week	Pair Corr

Related Correlations Analysis

	HF	MKTN	MRGR	EHLS	EMPB	NLSI	FAAR	WTLS	WTMF
HF		0.3	0.5	0.88	-0.57	0.34	0.65	0.0	0.86	HF
MKTN	0.3		0.6	0.06	-0.23	0.78	-0.13	0.0	0.39	MKTN
MRGR	0.5	0.6		0.44	-0.63	0.38	0.37	0.0	0.65	MRGR
EHLS	0.88	0.06	0.44		-0.62	0.15	0.76	0.0	0.84	EHLS
EMPB	-0.57	-0.23	-0.63	-0.62		-0.16	-0.62	0.0	-0.59	EMPB
NLSI	0.34	0.78	0.38	0.15	-0.16		-0.33	0.0	0.5	NLSI
FAAR	0.65	-0.13	0.37	0.76	-0.62	-0.33		0.0	0.45	FAAR
WTLS	0.0	0.0	0.0	0.0	0.0	0.0	0.0		0.0	WTLS
WTMF	0.86	0.39	0.65	0.84	-0.59	0.5	0.45	0.0		WTMF
	HF	MKTN	MRGR	EHLS	EMPB	NLSI	FAAR	WTLS	WTMF

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

EHLS	+ 0.88	HF
WTMF	+ 0.86	HF
WTMF	+ 0.84	EHLS
NLSI	+ 0.78	MKTN
FAAR	+ 0.76	EHLS
FAAR	+ 0.65	HF

High negative correlations

EMPB	- 0.63	MRGR
FAAR	- 0.62	EMPB
EMPB	- 0.62	EHLS
WTMF	- 0.59	EMPB
EMPB	- 0.57	HF
FAAR	- 0.33	NLSI

Invesco Managed Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco Managed 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 Managed'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
HF	0.23	0.03	(0.06)	0.63	0.23	(0.24)	0.43	(0.57)	1.28
MKTN	0.33	0.05	(0.01)	(0.56)	0.29	(0.40)	0.93	(0.64)	2.02
MRGR	0.21	0.04	(0.04)	0.68	0.00	(0.25)	0.52	(0.34)	1.25
EHLS	0.83	0.10	0.06	0.20	1.09	(0.82)	1.81	(1.99)	5.25
EMPB	0.43	(0.08)	0.00	(0.16)	0.00	0.00	0.87	(0.95)	3.02
NLSI	0.63	(0.14)	0.00	(0.35)	0.00	0.00	1.31	(1.67)	3.86
FAAR	0.65	0.10	0.06	(2.45)	0.66	(0.70)	1.27	(1.18)	2.53
WTLS	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
WTMF	0.41	0.01	(0.03)	0.08	0.46	(0.44)	0.82	(0.88)	2.69

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