Invesco Rochester Correlations

IORUX Fund

USD 14.37 0.01 0.07%

The current 90-days correlation between Invesco Rochester New and Gmo Global Equity is 0.08 (i.e., Significant diversification). The correlation of Invesco Rochester 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 Rochester Correlation With Market

Good diversification

The correlation between Invesco Rochester New and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Rochester New 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 Rochester New. 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 persons.

Moving together with Invesco Mutual Fund

0.94	VMICX	Invesco Municipal Income	Pair Corr
0.83	VMINX	Invesco Municipal Income	Pair Corr
0.85	VMIIX	Invesco Municipal Income	Pair Corr
0.77	OCACX	Oppenheimer Roc Ca	Pair Corr

Moving against Invesco Mutual Fund

0.35	MLPAX	Oppenheimer Steelpath Mlp	Pair Corr
0.34	MLPFX	Oppenheimer Steelpath Mlp	Pair Corr
0.33	MLPEX	Steelpath Select	Pair Corr
0.32	MLPGX	Oppenheimer Steelpath Mlp	Pair Corr
0.35	MLPLX	Oppenheimer Steelpath Mlp	Pair Corr
0.31	MLPMX	Oppenheimer Steelpath Mlp	Pair Corr

Related Correlations Analysis

	QLENX	CSPFX	INVYX	PWITX	JGECX	GMADX
QLENX		0.73	0.86	0.86	0.79	0.81	QLENX
CSPFX	0.73		0.93	0.91	0.96	0.95	CSPFX
INVYX	0.86	0.93		0.92	0.91	0.99	INVYX
PWITX	0.86	0.91	0.92		0.94	0.91	PWITX
JGECX	0.79	0.96	0.91	0.94		0.92	JGECX
GMADX	0.81	0.95	0.99	0.91	0.92		GMADX
	QLENX	CSPFX	INVYX	PWITX	JGECX	GMADX

Risk-Adjusted Indicators

There is a big difference between Invesco Mutual Fund performing well and Invesco Rochester 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 Rochester'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
QLENX	0.33	0.06	(0.07)	0.59	0.21	(0.39)	0.77	(0.51)	1.88
CSPFX	0.77	0.10	0.12	0.20	0.56	(0.89)	1.46	(1.21)	6.51
INVYX	0.65	0.12	0.14	0.22	0.45	(0.73)	1.38	(1.13)	6.55
PWITX	0.64	0.21	0.22	0.56	0.21	(0.82)	1.24	(1.01)	11.20
JGECX	0.67	0.20	0.18	0.87	0.32	(0.85)	1.49	(1.13)	9.68
GMADX	0.57	0.08	0.09	0.19	0.45	(0.67)	1.35	(1.10)	3.10

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