Invesco DB Correlations

DBO Etf

USD 13.92 0.87 5.88%

The current 90-days correlation between Invesco DB Oil and Invesco DB Base is 0.53 (i.e., Very weak 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 Oil moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco DB Correlation With Market

Very weak diversification

The correlation between Invesco DB Oil and DJI is 0.54 (i.e., Very weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Oil and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Invesco Etf

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Invesco DB Oil. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in bureau of labor statistics.

Moving together with Invesco Etf

0.97	USO	United States Oil	Pair Corr
0.83	CVX	Chevron Corp	Pair Corr
0.69	AA	Alcoa Corp	Pair Corr
0.87	XOM	Exxon Mobil Corp	Pair Corr

Moving against Invesco Etf

0.57	MCD	McDonalds	Pair Corr
0.44	WMT	Walmart Aggressive Push	Pair Corr
0.36	KO	Coca Cola	Pair Corr

Related Correlations Analysis

	DBE	USL	DBB	DBP	BNO
DBE		0.98	0.67	0.1	0.99	DBE
USL	0.98		0.72	-0.03	0.98	USL
DBB	0.67	0.72		-0.15	0.64	DBB
DBP	0.1	-0.03	-0.15		0.1	DBP
BNO	0.99	0.98	0.64	0.1		BNO
	DBE	USL	DBB	DBP	BNO

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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

BNO	+ 0.99	DBE
USL	+ 0.98	DBE
BNO	+ 0.98	USL
DBB	+ 0.72	USL
DBB	+ 0.67	DBE
BNO	+ 0.64	DBB

High negative correlations

DBP	- 0.15	DBB
DBP	- 0.03	USL

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
DBE	1.29	0.15	0.07	0.31	1.72	(1.32)	3.06	(2.47)	7.58
USL	1.48	0.10	0.04	0.19	2.13	(1.44)	3.08	(3.43)	9.24
DBB	0.87	(0.09)	0.00	(0.17)	0.00	0.00	1.63	(2.27)	6.63
DBP	1.17	0.13	0.08	1.16	1.21	(1.27)	2.81	(2.19)	6.25
BNO	1.70	0.19	0.08	0.35	2.14	(1.73)	4.19	(3.48)	9.89

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