Invesco DB Correlations

UUP Etf

USD 27.39 0.10 0.36%

The current 90-days correlation between Invesco DB Dollar and Invesco DB Dollar is -0.99 (i.e., Pay attention - limited upside). 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. If the correlation is 0, the equities are not correlated; they are entirely random.

Invesco DB Correlation With Market

Very good diversification

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

Build AI portfolio with Invesco Etf

Check out World Market Map to better understand how to build diversified portfolios, which includes a position in Invesco DB Dollar. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in main economic indicators.

Moving against Invesco Etf

0.79	UDN	Invesco DB Dollar	Pair Corr
0.47	DIS	Walt Disney	Pair Corr
0.66	IBM	International Business	Pair Corr
0.33	AXP	American Express	Pair Corr

Related Correlations Analysis

	UDN	FXE	FXY	TLT	TBT
UDN		0.94	0.01	0.45	-0.45	UDN
FXE	0.94		-0.3	0.51	-0.47	FXE
FXY	0.01	-0.3		-0.24	0.12	FXY
TLT	0.45	0.51	-0.24		-0.78	TLT
TBT	-0.45	-0.47	0.12	-0.78		TBT
	UDN	FXE	FXY	TLT	TBT

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

FXE	+ 0.94	UDN
TLT	+ 0.51	FXE
TLT	+ 0.45	UDN
TBT	+ 0.12	FXY
FXY	+ 0.01	UDN

High negative correlations

TBT	- 0.78	TLT
TBT	- 0.47	FXE
TBT	- 0.45	UDN
FXY	- 0.3	FXE
TLT	- 0.24	FXY

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
UDN	0.35	0.00	(0.20)	0.10	0.36	(0.40)	0.75	(0.70)	2.05
FXE	0.36	0.02	(0.14)	0.18	0.38	(0.39)	0.76	(0.64)	2.32
FXY	0.45	(0.06)	0.00	(0.20)	0.00	0.00	0.92	(0.78)	2.96
TLT	0.55	0.02	(0.11)	0.34	0.60	(0.58)	1.21	(0.97)	3.01
TBT	1.14	(0.08)	0.00	(1.02)	0.00	0.00	1.98	(2.78)	6.33

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