Correlation Between Invesco FTSE and Invesco Markets
Can any of the company-specific risk be diversified away by investing in both Invesco FTSE and Invesco Markets at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Invesco FTSE and Invesco Markets into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco FTSE RAFI and Invesco Markets II, you can compare the effects of market volatilities on Invesco FTSE and Invesco Markets and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Invesco FTSE with a short position of Invesco Markets. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco FTSE and Invesco Markets.
Diversification Opportunities for Invesco FTSE and Invesco Markets
-0.59 | Correlation Coefficient |
Excellent diversification
The 3 months correlation between Invesco and Invesco is -0.59. Overlapping area represents the amount of risk that can be diversified away by holding Invesco FTSE RAFI and Invesco Markets II in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Invesco Markets II and Invesco FTSE is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Invesco FTSE RAFI are associated (or correlated) with Invesco Markets. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Invesco Markets II has no effect on the direction of Invesco FTSE i.e., Invesco FTSE and Invesco Markets go up and down completely randomly.
Pair Corralation between Invesco FTSE and Invesco Markets
Assuming the 90 days trading horizon Invesco FTSE RAFI is expected to generate 0.35 times more return on investment than Invesco Markets. However, Invesco FTSE RAFI is 2.9 times less risky than Invesco Markets. It trades about 0.16 of its potential returns per unit of risk. Invesco Markets II is currently generating about -0.06 per unit of risk. If you would invest 216,907 in Invesco FTSE RAFI on September 2, 2024 and sell it today you would earn a total of 13,693 from holding Invesco FTSE RAFI or generate 6.31% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Against |
| Strength | Very Weak |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco FTSE RAFI vs. Invesco Markets II
Performance |
| Timeline |
| Invesco FTSE RAFI |
| Invesco Markets II |
Invesco FTSE and Invesco Markets Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco FTSE and Invesco Markets
The main advantage of trading using opposite Invesco FTSE and Invesco Markets positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco FTSE position performs unexpectedly, Invesco Markets can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Invesco Markets will offset losses from the drop in Invesco Markets' long position.| Invesco FTSE vs. Leverage Shares 3x | Invesco FTSE vs. WisdomTree Natural Gas | Invesco FTSE vs. GraniteShares 3x Short | Invesco FTSE vs. Leverage Shares 3x |
| Invesco Markets vs. Leverage Shares 3x | Invesco Markets vs. WisdomTree Natural Gas | Invesco Markets vs. GraniteShares 3x Short | Invesco Markets vs. Leverage Shares 3x |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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