Invesco Utilities Correlations

XLUS Etf

USD 630.00 6.00 0.96%

The current 90-days correlation between Invesco Utilities and Invesco Energy SP is 0.21 (i.e., Modest diversification). The correlation of Invesco Utilities 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 Utilities Correlation With Market

Pay attention - limited upside

The correlation between Invesco Utilities SP and DJI is -0.71 (i.e., Pay attention - limited upside) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Utilities SP and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to Invesco Utilities could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco Utilities when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco Utilities - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco Utilities SP to buy it.

Moving against Invesco Etf

0.71	DAXEX	iShares Core DAX	Pair Corr
0.64	WRDUSW-USD	UBSETF MSCIWLD USDa	Pair Corr
0.63	USMUFE	UBS ETF plc	Pair Corr
0.63	XGSD	Xtrackers Stoxx Global	Pair Corr
0.62	EUN	iShares STOXX Europe	Pair Corr
0.6	CSSPX	iShares Core SP	Pair Corr
0.6	IUSA	iShares SP 500	Pair Corr
0.57	HYLC	iShares Global High	Pair Corr
0.57	RGRT	Raiffeisen ETF Solid	Pair Corr
0.48	USGBPA	UBS ETF plc	Pair Corr
0.47	LQDE	iShares Corp Bond	Pair Corr
0.47	UKGBPA	UBSFund Solutions MSCI	Pair Corr
0.46	STUX	SPDR MSCI Europe	Pair Corr
0.42	CSNKY	iShares VII PLC	Pair Corr
0.38	DJSXE	iShares Core EURO	Pair Corr
0.31	USCR	SPDR Bloomberg SASB	Pair Corr
0.76	SMICHA	UBS ETF SMI	Pair Corr
0.73	IT25	iShares V PLC	Pair Corr
0.68	XESC	Xtrackers Euro Stoxx	Pair Corr
0.66	XEOU	Xtrackers MSCI Europe	Pair Corr
0.65	GDX	VanEck Gold Miners	Pair Corr
0.65	XDUE	Xtrackers MSCI EMU	Pair Corr
0.59	XLBS	Invesco Materials	Pair Corr
0.57	XMEX	Xtrackers MSCI Mexico	Pair Corr
0.56	XMCJ	Xtrackers MSCI Japan	Pair Corr
0.56	AWESGG	UBS MSCI ACWI	Pair Corr
0.55	DMFC	iShares Edge MSCI	Pair Corr
0.51	STHC	PIMCO Short Term	Pair Corr
0.5	DRVE	Global X Autonomous	Pair Corr
0.47	VAPU	Vanguard FTSE Developed	Pair Corr
0.47	FTAD	SPDR FTSE UK	Pair Corr
0.44	STYC	PIMCO Short Term	Pair Corr
0.39	LYSP5	Lyxor SP 500	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		-0.47	-0.53	0.48	0.19	-0.59	-0.09	0.33	0.51	0.49	META
MSFT	-0.47		0.75	-0.48	-0.52	0.65	0.75	-0.02	-0.77	-0.88	MSFT
UBER	-0.53	0.75		-0.42	-0.27	0.73	0.39	-0.19	-0.77	-0.68	UBER
F	0.48	-0.48	-0.42		-0.15	-0.35	-0.12	0.38	0.63	0.57	F
T	0.19	-0.52	-0.27	-0.15		-0.19	-0.67	-0.05	0.18	0.41	T
A	-0.59	0.65	0.73	-0.35	-0.19		0.35	-0.12	-0.57	-0.73	A
CRM	-0.09	0.75	0.39	-0.12	-0.67	0.35		0.42	-0.41	-0.75	CRM
JPM	0.33	-0.02	-0.19	0.38	-0.05	-0.12	0.42		0.27	-0.01	JPM
MRK	0.51	-0.77	-0.77	0.63	0.18	-0.57	-0.41	0.27		0.76	MRK
XOM	0.49	-0.88	-0.68	0.57	0.41	-0.73	-0.75	-0.01	0.76		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

XOM	+ 0.76	MRK
UBER	+ 0.75	MSFT
CRM	+ 0.75	MSFT
A	+ 0.73	UBER
A	+ 0.65	MSFT
MRK	+ 0.63	F

High negative correlations

XOM	- 0.88	MSFT
MRK	- 0.77	UBER
MRK	- 0.77	MSFT
XOM	- 0.75	CRM
XOM	- 0.73	A
XOM	- 0.68	UBER

Invesco Utilities Competition Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco Utilities 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 Utilities' 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	1.52	0.05	0.01	0.16	1.50	(1.77)	3.43	(2.67)	13.69
MSFT	1.34	(0.33)	0.00	(0.70)	0.00	0.00	1.90	(2.74)	13.28
UBER	1.46	(0.39)	0.00	(0.62)	0.00	0.00	2.41	(3.82)	11.09
F	1.17	(0.01)	(0.01)	0.08	1.19	(1.42)	3.38	(2.35)	7.16
T	0.95	0.17	0.10	1.80	0.82	(1.08)	2.02	(1.54)	5.31
A	1.22	(0.29)	0.00	(0.16)	0.00	0.00	2.90	(2.58)	7.85
CRM	1.68	(0.48)	0.00	(0.34)	0.00	0.00	2.94	(5.31)	12.37
JPM	1.21	(0.08)	(0.02)	0.03	1.66	(1.26)	2.34	(3.11)	7.38
MRK	1.31	0.49	0.32	1.17	0.99	(1.62)	3.59	(1.98)	8.09
XOM	1.17	0.44	0.27	3.48	0.92	(1.39)	2.69	(2.11)	5.85

Be your own money manager

Our tools can tell you how much better you can do entering a position in Invesco Utilities without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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