Invesco Preferred Correlations

PGX Etf

USD 11.32 0.01 0.09%

The current 90-days correlation between Invesco Preferred ETF and Xtrackers USD High is 0.04 (i.e., Significant diversification). The correlation of Invesco Preferred 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 Preferred Correlation With Market

Weak diversification

The correlation between Invesco Preferred ETF and DJI is 0.31 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Preferred ETF and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Invesco Etf

Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Invesco Preferred ETF. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in price.

Moving together with Invesco Etf

0.62	PFF	iShares Preferred	Pair Corr
0.82	PFFD	Global X Preferred	Pair Corr
0.93	PGF	Invesco Financial	Pair Corr
0.98	PSK	SPDR ICE Preferred	Pair Corr

Moving against Invesco Etf

0.79	SJLD	SanJac Alpha Low	Pair Corr
0.76	JDOC	JPMorgan Healthcare	Pair Corr
0.72	TUSI	Touchstone ETF Trust	Pair Corr
0.59	FPEI	First Trust Institutional	Pair Corr
0.49	IAUM	iShares Gold Trust	Pair Corr
0.42	FPE	First Trust Preferred Sell-off Trend	Pair Corr
0.41	TMH	Precidian ETFs Trust	Pair Corr
0.37	ICOP	iShares Copper	Pair Corr
0.82	SARK	Tuttle Capital Short	Pair Corr
0.65	IBTH	iShares iBonds Dec	Pair Corr
0.63	CALI	iShares Short Term	Pair Corr
0.61	PCS	PGIM Corporate Bond	Pair Corr
0.51	CPSL	Calamos Laddered	Pair Corr
0.48	GAPR	First Trust Exchange	Pair Corr
0.46	IDEC	Innovator ETFs Trust	Pair Corr
0.45	PBFB	PGIM Large Cap	Pair Corr
0.44	AGQ	ProShares Ultra Silver Upward Rally	Pair Corr
0.44	NJAN	Innovator Nasdaq 100	Pair Corr
0.42	GDE	WisdomTree Efficient Gold	Pair Corr
0.4	PJFM	PGIM ETF Trust	Pair Corr

Related Correlations Analysis

	HYLB	TOTL	RSPT	FFIJX	RECS	JMUB	DXJ	BILS	DON	IYR
HYLB		0.69	0.55	0.75	0.87	0.66	0.88	0.87	0.81	-0.03	HYLB
TOTL	0.69		0.1	0.37	0.44	0.76	0.55	0.62	0.44	0.25	TOTL
RSPT	0.55	0.1		0.86	0.82	0.18	0.42	0.31	0.58	0.05	RSPT
FFIJX	0.75	0.37	0.86		0.95	0.44	0.66	0.55	0.69	0.08	FFIJX
RECS	0.87	0.44	0.82	0.95		0.53	0.79	0.7	0.74	-0.04	RECS
JMUB	0.66	0.76	0.18	0.44	0.53		0.75	0.78	0.21	-0.06	JMUB
DXJ	0.88	0.55	0.42	0.66	0.79	0.75		0.96	0.62	-0.31	DXJ
BILS	0.87	0.62	0.31	0.55	0.7	0.78	0.96		0.57	-0.38	BILS
DON	0.81	0.44	0.58	0.69	0.74	0.21	0.62	0.57		0.15	DON
IYR	-0.03	0.25	0.05	0.08	-0.04	-0.06	-0.31	-0.38	0.15		IYR
	HYLB	TOTL	RSPT	FFIJX	RECS	JMUB	DXJ	BILS	DON	IYR

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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

BILS	+ 0.96	DXJ
RECS	+ 0.95	FFIJX
DXJ	+ 0.88	HYLB
RECS	+ 0.87	HYLB
BILS	+ 0.87	HYLB
FFIJX	+ 0.86	RSPT

High negative correlations

IYR	- 0.38	BILS
IYR	- 0.31	DXJ
IYR	- 0.06	JMUB
IYR	- 0.04	RECS
IYR	- 0.03	HYLB

Invesco Preferred Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco Preferred 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 Preferred'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
HYLB	0.16	0.00	(0.33)	0.07	0.13	(0.16)	0.33	(0.30)	0.94
TOTL	0.14	0.00	(0.41)	0.14	0.12	(0.16)	0.30	(0.35)	0.80
RSPT	1.10	(0.05)	(0.01)	0.05	1.63	(1.03)	1.86	(3.08)	6.37
FFIJX	0.56	(0.04)	(0.06)	0.04	0.85	(0.51)	1.01	(1.34)	3.37
RECS	0.56	(0.03)	(0.05)	0.05	0.78	(0.52)	1.31	(1.18)	3.05
JMUB	0.08	0.01	(0.65)	0.81	0.00	(0.09)	0.20	(0.18)	0.46
DXJ	0.73	0.16	0.12	0.28	0.83	(0.80)	1.77	(1.21)	7.08
BILS	0.01	0.01	0.00	4.23	0.00	0.00	0.04	0.00	0.08
DON	0.62	(0.05)	(0.07)	0.03	0.76	(0.64)	1.47	(1.22)	3.19
IYR	0.58	(0.07)	0.00	(0.04)	0.00	0.00	1.18	(1.18)	3.96

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