Invesco SP Correlations
| PSCH Etf | USD 47.63 0.23 0.48% |
The current 90-days correlation between Invesco SP SmallCap and Invesco SP SmallCap is 0.81 (i.e., Very poor diversification). The correlation of Invesco SP 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 SP Correlation With Market
Poor diversification
The correlation between Invesco SP SmallCap and DJI is 0.78 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP SmallCap and DJI in the same portfolio, assuming nothing else is changed.
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Moving together with Invesco Etf
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Invesco SP Constituents Risk-Adjusted Indicators
There is a big difference between Invesco Etf performing well and Invesco SP 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 SP'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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| PSCT | 1.16 | (0.13) | (0.02) | 0.05 | 1.50 | 2.44 | 8.03 | |||
| XHE | 0.79 | (0.04) | (0.05) | 0.07 | 0.97 | 1.35 | 4.63 | |||
| PSCC | 0.78 | 0.04 | 0.02 | 0.17 | 0.73 | 1.52 | 4.04 | |||
| PTH | 1.14 | (0.23) | 0.00 | (0.09) | 0.00 | 2.11 | 6.27 | |||
| PSCF | 0.97 | 0.00 | 0.06 | 0.12 | 0.82 | 2.06 | 9.86 |