Invesco Senior Correlations

VVR Fund

USD 3.29 0.02 0.60%

The current 90-days correlation between Invesco Senior Income and Invesco Quality Municipal is 0.08 (i.e., Significant diversification). The correlation of Invesco Senior 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 Senior Correlation With Market

Very weak diversification

The correlation between Invesco Senior Income and DJI is 0.55 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Senior Income 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 Senior Income. Also, note that the market value of any fund could be closely tied with the direction of predictive economic indicators such as various price indices.

Moving together with Invesco Fund

0.64	NHS	Neuberger Berman High	Pair Corr
0.76	FGDAX	Gold Portfolio Fidelity	Pair Corr
0.71	CGIEX	International Growth And	Pair Corr
0.75	MSACX	Active International	Pair Corr
0.7	MXMVX	Great West Goldman	Pair Corr
0.61	IGZAX	Voya Short Term	Pair Corr
0.69	TRTGX	T Rowe Price	Pair Corr
0.71	TRIEX	Tiaa Cref International	Pair Corr
0.63	PFSLX	Paradigm Select	Pair Corr
0.66	MHCAX	Mainstay High Yield	Pair Corr
0.65	LMCTX	Lord Abbett Mid	Pair Corr
0.66	MXLDX	Great-west Securefoundation	Pair Corr
0.68	MPNCX	Mfs North Carolina	Pair Corr
0.64	CUSDX	Six Circles Ultra	Pair Corr
0.63	AYBLX	Pioneer Classic Balanced	Pair Corr
0.71	LZSIX	Lazard International	Pair Corr
0.65	LMCSX	Lord Abbett Mid	Pair Corr
0.69	LIRTX	Lord Abbett Intl	Pair Corr
0.7	LPVRX	Blackrock Lifepath	Pair Corr
0.61	MXISX	Great West Sp	Pair Corr
0.61	IMLAX	Transamerica Asset	Pair Corr
0.67	MXSBX	Great-west Securefoundation	Pair Corr

Related Correlations Analysis

	IQI	VCV	VKQ	VGM	IIM	HPS	VKI	BLW	SLIYX	FTHY
IQI		0.35	0.76	0.82	0.47	-0.4	0.55	0.43	0.74	0.7	IQI
VCV	0.35		0.65	0.41	0.32	0.16	0.75	0.34	0.34	0.43	VCV
VKQ	0.76	0.65		0.81	0.36	-0.22	0.83	0.44	0.71	0.75	VKQ
VGM	0.82	0.41	0.81		0.19	-0.63	0.79	0.39	0.82	0.67	VGM
IIM	0.47	0.32	0.36	0.19		0.16	0.11	-0.1	0.01	0.24	IIM
HPS	-0.4	0.16	-0.22	-0.63	0.16		-0.3	0.0	-0.56	-0.08	HPS
VKI	0.55	0.75	0.83	0.79	0.11	-0.3		0.39	0.63	0.57	VKI
BLW	0.43	0.34	0.44	0.39	-0.1	0.0	0.39		0.69	0.77	BLW
SLIYX	0.74	0.34	0.71	0.82	0.01	-0.56	0.63	0.69		0.79	SLIYX
FTHY	0.7	0.43	0.75	0.67	0.24	-0.08	0.57	0.77	0.79		FTHY
	IQI	VCV	VKQ	VGM	IIM	HPS	VKI	BLW	SLIYX	FTHY

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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

VKI	+ 0.83	VKQ
VGM	+ 0.82	IQI
SLIYX	+ 0.82	VGM
VGM	+ 0.81	VKQ
VKI	+ 0.79	VGM
FTHY	+ 0.79	SLIYX

High negative correlations

HPS	- 0.63	VGM
SLIYX	- 0.56	HPS
HPS	- 0.4	IQI
VKI	- 0.3	HPS
HPS	- 0.22	VKQ
BLW	- 0.1	IIM

Risk-Adjusted Indicators

There is a big difference between Invesco Fund performing well and Invesco Senior 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 Senior'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
IQI	0.28	0.01	(0.05)	0.20	0.28	(0.33)	0.70	(0.61)	1.71
VCV	0.59	0.06	0.03	1.69	0.76	(0.64)	1.53	(1.55)	3.42
VKQ	0.37	0.02	(0.03)	(3.74)	0.40	(0.42)	0.83	(0.73)	2.01
VGM	0.33	0.03	0.00	11.30	0.40	(0.36)	0.68	(0.60)	2.24
IIM	0.44	(0.01)	(0.07)	(0.03)	0.51	(0.57)	0.97	(0.89)	4.42
HPS	0.44	(0.06)	0.00	(0.21)	0.00	0.00	0.84	(0.95)	2.34
VKI	0.40	0.03	(0.02)	(2.50)	0.46	(0.48)	0.99	(0.91)	2.55
BLW	0.26	0.01	(0.06)	0.07	0.25	(0.32)	0.45	(0.52)	1.33
SLIYX	0.12	0.03	(0.03)	0.22	0.00	(0.17)	0.29	(0.20)	0.49
FTHY	0.25	0.01	(0.05)	0.06	0.27	(0.27)	0.50	(0.56)	1.81

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