Invesco DB Correlations

UDN Etf

USD 17.73 0.08 0.45%

The current 90-days correlation between Invesco DB Dollar and ProShares VIX Short Term is 0.01 (i.e., Significant diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco DB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco DB Dollar moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco DB Correlation With Market

Very good diversification

The correlation between Invesco DB Dollar and DJI is -0.25 (i.e., Very good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Dollar and DJI in the same portfolio, assuming nothing else is changed.

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Invesco DB Dollar. 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

0.89	VIIX	VIIX	Pair Corr
0.84	GRNB	VanEck Green Bond	Pair Corr
0.76	RODM	Hartford Multifactor	Pair Corr
0.87	ERO	Ero Copper Corp	Pair Corr
0.86	JAMF	Jamf Holding	Pair Corr
0.77	JNJ	Johnson Johnson Sell-off Trend	Pair Corr
0.8	PFE	Pfizer Inc Aggressive Push	Pair Corr
0.91	KO	Coca Cola Aggressive Push	Pair Corr

Moving against Invesco Etf

0.99	UUP	Invesco DB Dollar	Pair Corr
0.99	EUO	ProShares UltraShort Euro	Pair Corr
0.95	YCS	ProShares UltraShort Yen	Pair Corr
0.81	FMAR	FT Cboe Vest	Pair Corr
0.78	WINN	Harbor Long Term	Pair Corr
0.74	DRVN	Driven Brands Holdings	Pair Corr
0.67	HHH	Howard Hughes	Pair Corr
0.46	CEFD	ETRACS Monthly Pay	Pair Corr
0.94	BAC	Bank of America Fiscal Year End 10th of January 2025	Pair Corr
0.87	CSCO	Cisco Systems Aggressive Push	Pair Corr
0.84	WMT	Walmart Aggressive Push	Pair Corr
0.83	DIS	Walt Disney	Pair Corr
0.8	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.77	AA	Alcoa Corp Fiscal Year End 15th of January 2025	Pair Corr
0.72	HPQ	HP Inc	Pair Corr
0.58	XOM	Exxon Mobil Corp Sell-off Trend	Pair Corr
0.53	HD	Home Depot	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.29	0.57	-0.02	0.6	0.02	0.68	0.28	-0.56	0.72	META
MSFT	0.29		0.24	0.12	0.2	-0.02	0.02	-0.17	0.11	-0.18	MSFT
UBER	0.57	0.24		-0.02	0.02	0.26	0.05	-0.1	0.04	0.36	UBER
F	-0.02	0.12	-0.02		0.0	-0.37	0.36	0.62	-0.24	0.29	F
T	0.6	0.2	0.02	0.0		-0.48	0.73	0.49	-0.76	0.39	T
A	0.02	-0.02	0.26	-0.37	-0.48		-0.48	-0.65	0.64	-0.01	A
CRM	0.68	0.02	0.05	0.36	0.73	-0.48		0.83	-0.92	0.68	CRM
JPM	0.28	-0.17	-0.1	0.62	0.49	-0.65	0.83		-0.83	0.51	JPM
MRK	-0.56	0.11	0.04	-0.24	-0.76	0.64	-0.92	-0.83		-0.57	MRK
XOM	0.72	-0.18	0.36	0.29	0.39	-0.01	0.68	0.51	-0.57		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

JPM	+ 0.83	CRM
CRM	+ 0.73	T
XOM	+ 0.72	META
CRM	+ 0.68	META
XOM	+ 0.68	CRM
MRK	+ 0.64	A

High negative correlations

MRK	- 0.92	CRM
MRK	- 0.83	JPM
MRK	- 0.76	T
JPM	- 0.65	A
XOM	- 0.57	MRK
MRK	- 0.56	META

Invesco DB Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco DB 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 DB'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
META	1.05	0.00	(0.03)	0.12	1.40	(1.14)	2.62	(3.15)	8.02
MSFT	0.88	(0.08)	(0.07)	0.01	1.51	(0.82)	2.09	(1.85)	8.19
UBER	1.60	(0.14)	0.00	(0.02)	0.00	0.00	2.69	(2.44)	20.10
F	1.43	(0.12)	(0.02)	0.04	2.19	(1.43)	2.75	(2.90)	11.72
T	0.92	0.28	0.14	24.43	0.85	(1.04)	2.56	(1.72)	6.47
A	1.14	(0.13)	0.00	(0.12)	0.00	0.00	2.29	(2.42)	9.02
CRM	1.28	0.29	0.25	0.37	0.90	(1.52)	3.18	(1.91)	9.09
JPM	1.12	0.00	0.06	0.12	1.44	(1.17)	2.05	(2.00)	15.87
MRK	0.85	(0.26)	0.00	(1.12)	0.00	0.00	1.73	(2.13)	4.89
XOM	1.03	0.03	(0.01)	0.18	1.21	(1.11)	2.14	(2.09)	5.78

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