Invesco FTSE Correlations

PDN Etf

USD 33.05 0.40 1.23%

The current 90-days correlation between Invesco FTSE RAFI and Invesco FTSE RAFI is -0.05 (i.e., Good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco FTSE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco FTSE RAFI moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco FTSE Correlation With Market

Weak diversification

The correlation between Invesco FTSE RAFI and DJI is 0.33 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI and DJI in the same portfolio, assuming nothing else is changed.

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Invesco FTSE RAFI. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with Invesco Etf

0.97	FNDC	Schwab Fundamental	Pair Corr
0.89	AVDV	Avantis International	Pair Corr
0.94	DLS	WisdomTree International	Pair Corr
0.98	DISV	Dimensional ETF Trust Low Volatility	Pair Corr
0.87	ISVL	iShares International	Pair Corr
0.98	DIM	WisdomTree International	Pair Corr
0.85	GVAL	Cambria Global Value Low Volatility	Pair Corr
0.63	DUKH	Ocean Park High	Pair Corr
0.66	DD	Dupont De Nemours Earnings Call This Week	Pair Corr
0.63	JNJ	Johnson Johnson	Pair Corr

Moving against Invesco Etf

0.35	OBIL	US Treasury 12	Pair Corr
0.31	BA	Boeing	Pair Corr

Related Correlations Analysis

	PXF	PXH	PRFZ	PIZ	PIE
PXF		0.74	0.29	0.66	0.51	PXF
PXH	0.74		0.06	0.36	0.78	PXH
PRFZ	0.29	0.06		0.68	0.24	PRFZ
PIZ	0.66	0.36	0.68		0.19	PIZ
PIE	0.51	0.78	0.24	0.19		PIE
	PXF	PXH	PRFZ	PIZ	PIE

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Invesco FTSE Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco FTSE 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 FTSE'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
PXF	0.54	(0.02)	0.00	(0.15)	0.00	0.00	1.25	(1.47)	3.70
PXH	0.73	(0.08)	0.00	(0.13)	0.00	0.00	1.56	(2.22)	6.06
PRFZ	0.82	0.03	(0.01)	0.13	1.08	(0.84)	1.71	(1.37)	9.52
PIZ	0.70	0.04	(0.01)	0.19	0.86	(0.68)	1.25	(1.46)	4.78
PIE	0.82	(0.17)	0.00	(0.54)	0.00	0.00	1.64	(2.19)	4.83

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