Invesco FTSE Correlations

PXF Etf

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The current 90-days correlation between Invesco FTSE RAFI and SPDR MSCI ACWI is 0.95 (i.e., Almost no diversification). The correlation of Invesco FTSE 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 FTSE Correlation With Market

Poor diversification

The correlation between Invesco FTSE RAFI and DJI is 0.79 (i.e., Poor 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.

Build AI portfolio with Invesco Etf

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 world development indicators.

Moving together with Invesco Etf

0.99	EFV	iShares MSCI EAFE	Pair Corr
1.0	FNDF	Schwab Fundamental	Pair Corr
0.99	VYMI	Vanguard International	Pair Corr
0.97	IDV	iShares International	Pair Corr
0.97	DFIV	Dimensional International	Pair Corr
0.98	IVLU	iShares Edge MSCI	Pair Corr
0.98	RODM	Hartford Multifactor	Pair Corr
0.94	HDEF	Xtrackers MSCI EAFE	Pair Corr
0.96	PID	Invesco International	Pair Corr
0.79	OIH	VanEck Oil Services	Pair Corr
0.89	WTMF	WisdomTree Managed	Pair Corr
0.91	EWC	iShares MSCI Canada	Pair Corr
0.78	TOT	Advisor Managed Port	Pair Corr
0.86	ESGD	iShares ESG Aware	Pair Corr
0.61	MYCL	SPDR SSGA My2032	Pair Corr
0.82	COPA	Themes Copper Miners Low Volatility	Pair Corr
0.79	XVV	iShares ESG Screened	Pair Corr
0.68	USCL	iShares Climate Conscious	Pair Corr
0.79	BATT	Amplify Lithium Battery	Pair Corr
0.91	PMSE	PGIM SP 500	Pair Corr
0.83	JNK	SPDR Bloomberg High	Pair Corr
0.64	MBB	iShares MBS ETF	Pair Corr
0.68	SNPD	DBX ETF Trust	Pair Corr
0.77	IAU	iShares Gold Trust	Pair Corr
0.95	AJUL	Innovator Equity Defined	Pair Corr
0.81	EQRR	ProShares Equities for	Pair Corr
0.96	FVAL	Fidelity Value Factor	Pair Corr
0.8	CANC	Tema Oncology ETF	Pair Corr
0.96	APRT	AllianzIM Large Cap	Pair Corr
0.89	CSPF	Cohen Steers ETF	Pair Corr

Moving against Invesco Etf

0.51

ARKW

ARK Next Generation

Pair Corr

Related Correlations Analysis

	CWI	PXH	PHO	IEV	GUSA	EWG	TNA	HDEF	VSTCX	XSOE
CWI		0.75	0.24	0.94	0.87	0.51	0.63	0.79	0.54	0.68	CWI
PXH	0.75		0.1	0.57	0.74	-0.01	0.16	0.55	0.4	0.81	PXH
PHO	0.24	0.1		0.2	0.23	0.52	0.5	-0.07	0.24	0.38	PHO
IEV	0.94	0.57	0.2		0.75	0.58	0.61	0.89	0.46	0.43	IEV
GUSA	0.87	0.74	0.23	0.75		0.4	0.69	0.59	0.69	0.71	GUSA
EWG	0.51	-0.01	0.52	0.58	0.4		0.79	0.21	0.33	0.23	EWG
TNA	0.63	0.16	0.5	0.61	0.69	0.79		0.31	0.66	0.37	TNA
HDEF	0.79	0.55	-0.07	0.89	0.59	0.21	0.31		0.36	0.19	HDEF
VSTCX	0.54	0.4	0.24	0.46	0.69	0.33	0.66	0.36		0.33	VSTCX
XSOE	0.68	0.81	0.38	0.43	0.71	0.23	0.37	0.19	0.33		XSOE
	CWI	PXH	PHO	IEV	GUSA	EWG	TNA	HDEF	VSTCX	XSOE

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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

IEV	+ 0.94	CWI
HDEF	+ 0.89	IEV
GUSA	+ 0.87	CWI
XSOE	+ 0.81	PXH
HDEF	+ 0.79	CWI
TNA	+ 0.79	EWG

High negative correlations

HDEF	- 0.07	PHO
EWG	- 0.01	PXH

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
CWI	0.58	0.02	0.01	0.09	0.74	(0.59)	1.16	(1.17)	3.13
PXH	0.59	0.00	(0.01)	0.06	0.91	(0.57)	1.11	(1.08)	4.81
PHO	0.69	(0.06)	(0.08)	(0.01)	0.86	(0.66)	1.33	(1.31)	4.04
IEV	0.63	0.04	0.05	0.11	0.58	(0.71)	1.29	(1.12)	2.64
GUSA	0.63	(0.02)	(0.02)	0.04	0.90	(0.57)	1.57	(1.24)	4.34
EWG	0.68	(0.02)	(0.02)	0.04	0.84	(0.69)	1.21	(1.35)	3.33
TNA	2.94	(0.12)	0.02	0.03	3.90	(2.76)	5.79	(5.95)	16.54
HDEF	0.47	0.06	0.06	0.18	0.30	(0.54)	1.03	(0.77)	2.47
VSTCX	0.98	(0.13)	0.00	(0.03)	0.00	0.00	1.82	(2.14)	10.35
XSOE	0.68	(0.01)	(0.02)	0.05	0.95	(0.72)	1.30	(1.29)	4.84

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