Invesco SP Correlations

XSVM Etf

USD 57.60 0.46 0.81%

The current 90-days correlation between Invesco SP SmallCap and Invesco PHLX Semiconductor is 0.3 (i.e., Weak diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco SP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco SP SmallCap moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco SP Correlation With Market

Poor diversification

The correlation between Invesco SP SmallCap and DJI is 0.69 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP SmallCap and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with Invesco Etf

Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in Invesco SP SmallCap. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in services.

Moving together with Invesco Etf

0.97	VBR	Vanguard Small Cap	Pair Corr
0.96	IWN	iShares Russell 2000	Pair Corr
0.98	IJJ	iShares SP Mid	Pair Corr
0.99	DFAT	Dimensional Targeted	Pair Corr
0.94	IJS	iShares SP Small	Pair Corr
0.94	SLYV	SPDR SP 600	Pair Corr
0.98	AVUV	Avantis Small Cap	Pair Corr
0.97	DES	WisdomTree SmallCap	Pair Corr
0.98	MDYV	SPDR SP 400	Pair Corr
0.91	CALF	Pacer Small Cap	Pair Corr
0.66	TOT	Advisor Managed Port	Pair Corr
0.62	LUX	Tema Global	Pair Corr
0.65	FB	ProShares Trust ProShares	Pair Corr
0.68	SWP	SWP Growth Income	Pair Corr
0.82	DUKH	Ocean Park High	Pair Corr
0.71	MCD	McDonalds	Pair Corr
0.64	JNJ	Johnson Johnson	Pair Corr
0.65	BAC	Bank of America	Pair Corr
0.76	AA	Alcoa Corp	Pair Corr
0.83	WMT	Walmart Common Stock Aggressive Push	Pair Corr

Moving against Invesco Etf

0.46	MSFT	Microsoft	Pair Corr
0.33	T	ATT Inc	Pair Corr

Related Correlations Analysis

	SOXQ	TLTD	VFVA	SPHB	EYLD	JKL	JVAL	KSA	XMVM	IMFL
SOXQ		0.6	0.51	0.83	0.7	0.59	0.76	-0.38	0.42	0.75	SOXQ
TLTD	0.6		0.92	0.86	0.71	0.91	0.91	-0.69	0.87	0.92	TLTD
VFVA	0.51	0.92		0.84	0.58	0.98	0.94	-0.74	0.97	0.82	VFVA
SPHB	0.83	0.86	0.84		0.63	0.89	0.96	-0.48	0.77	0.85	SPHB
EYLD	0.7	0.71	0.58	0.63		0.57	0.67	-0.65	0.51	0.88	EYLD
JKL	0.59	0.91	0.98	0.89	0.57		0.97	-0.65	0.93	0.81	JKL
JVAL	0.76	0.91	0.94	0.96	0.67	0.97		-0.61	0.86	0.87	JVAL
KSA	-0.38	-0.69	-0.74	-0.48	-0.65	-0.65	-0.61		-0.78	-0.74	KSA
XMVM	0.42	0.87	0.97	0.77	0.51	0.93	0.86	-0.78		0.77	XMVM
IMFL	0.75	0.92	0.82	0.85	0.88	0.81	0.87	-0.74	0.77		IMFL
	SOXQ	TLTD	VFVA	SPHB	EYLD	JKL	JVAL	KSA	XMVM	IMFL

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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

JKL	+ 0.98	VFVA
XMVM	+ 0.97	VFVA
JVAL	+ 0.97	JKL
JVAL	+ 0.96	SPHB
JVAL	+ 0.94	VFVA
XMVM	+ 0.93	JKL

High negative correlations

XMVM	- 0.78	KSA
IMFL	- 0.74	KSA
KSA	- 0.74	VFVA
KSA	- 0.69	TLTD
KSA	- 0.65	JKL
KSA	- 0.65	EYLD

Invesco SP Constituents Risk-Adjusted Indicators

There is a big difference between Invesco Etf performing well and Invesco SP 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 SP'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
SOXQ	1.76	0.10	0.06	0.10	2.32	(1.81)	3.11	(3.97)	10.01
TLTD	0.58	0.05	0.05	0.11	0.67	(0.62)	1.15	(1.23)	2.85
VFVA	0.71	0.01	0.02	0.06	0.84	(0.79)	1.49	(1.23)	3.97
SPHB	1.11	0.03	0.03	0.07	1.60	(1.07)	1.91	(2.88)	6.45
EYLD	0.68	0.06	0.04	0.13	0.85	(0.70)	1.55	(1.41)	4.67
JKL	0.81	(0.01)	0.00	0.04	0.99	(0.84)	2.13	(1.71)	4.22
JVAL	0.71	0.00	0.01	0.05	0.98	(0.70)	1.55	(1.48)	3.72
KSA	0.58	(0.15)	0.00	(0.40)	0.00	0.00	1.00	(1.49)	4.16
XMVM	0.68	0.02	0.02	0.07	0.87	(0.82)	1.83	(1.14)	4.96
IMFL	0.63	0.09	0.08	0.16	0.75	(0.65)	1.17	(1.41)	2.79

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