Invesco DB Correlations
| DBB Etf | USD 18.89 0.06 0.32% |
The current 90-days correlation between Invesco DB Base and Invesco DB Precious is 0.31 (i.e., Weak diversification). The correlation of Invesco DB 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 DB Correlation With Market
Poor diversification
The correlation between Invesco DB Base and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Base and DJI in the same portfolio, assuming nothing else is changed.
Moving together with Invesco Etf
| 0.63 | USO | United States Oil | PairCorr |
| 0.64 | UPRO | ProShares UltraPro SP500 | PairCorr |
| 0.64 | SPXL | Direxion Daily SP500 | PairCorr |
Moving against Invesco Etf
| 0.35 | GLD | SPDR Gold Shares Sell-off Trend | PairCorr |
| 0.35 | IAU | iShares Gold Trust Sell-off Trend | PairCorr |
| 0.35 | GLDM | SPDR Gold Mini Sell-off Trend | PairCorr |
| 0.35 | SGOL | abrdn Physical Gold Sell-off Trend | PairCorr |
| 0.35 | IAUM | iShares Gold Trust Sell-off Trend | PairCorr |
| 0.42 | BSV | Vanguard Short Term | PairCorr |
Related Correlations Analysis
| Click cells to compare fundamentals | Check Volatility | Backtest Portfolio |
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
| High negative correlations
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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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DBP | 1.17 | 0.13 | 0.08 | 1.16 | 1.21 | 2.81 | 6.25 | |||
| DBE | 1.29 | 0.15 | 0.07 | 0.31 | 1.72 | 3.06 | 7.58 | |||
| DBA | 0.74 | (0.04) | 0.00 | (0.10) | 0.00 | 1.45 | 5.35 | |||
| DBC | 0.90 | 0.07 | 0.04 | 0.21 | 1.23 | 2.11 | 5.48 | |||
| JJC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |