Invesco DB Correlations

DBC Etf

USD 22.90 0.05 0.22%

The current 90-days correlation between Invesco DB Commodity and Pacer Developed Markets is 0.33 (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

Good diversification

The correlation between Invesco DB Commodity and DJI is -0.02 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco DB Commodity 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 Commodity. 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

1.0	PDBC	Invesco Optimum Yield	Pair Corr
0.92	FTGC	First Trust Global	Pair Corr
0.94	COMT	iShares GSCI Commodity	Pair Corr
0.97	GSG	iShares SP GSCI	Pair Corr
0.84	DJP	iPath Bloomberg Commodity	Pair Corr
0.84	BCI	abrdn Bloomberg All	Pair Corr
0.83	CMDY	iShares Bloomberg Roll	Pair Corr
0.84	COMB	GraniteShares Bloomberg	Pair Corr
0.79	GCC	WisdomTree Continuous	Pair Corr
0.65	USD	ProShares Ultra Semi	Pair Corr
0.7	BULZ	MicroSectors Solactive	Pair Corr
0.77	FNGO	MicroSectors FANG Index	Pair Corr
0.66	WGMI	Valkyrie Bitcoin Miners	Pair Corr
0.76	FNGG	Direxion Daily Select	Pair Corr
0.7	TECL	Direxion Daily Technology	Pair Corr
0.65	UMMA	Wahed Dow Jones	Pair Corr
0.76	QMOM	Alpha Architect Quan	Pair Corr
0.69	SMH	VanEck Semiconductor ETF	Pair Corr
0.69	XKST	SPDR SP Kensho	Pair Corr
0.65	GENT	Spinnaker ETF Series	Pair Corr
0.75	FLJH	Franklin FTSE Japan	Pair Corr
0.8	GAEM	Simplify Exchange Traded	Pair Corr
0.62	AIPO	Defiance AI Power	Pair Corr
0.78	KCSH	KraneShares Trust	Pair Corr
0.72	DFEN	Direxion Daily Aerospace	Pair Corr
0.74	JOET	Virtus ETF Trust	Pair Corr
0.64	HFMF	Unlimited HFMF Managed	Pair Corr
0.69	MGOV	First Trust Exchange	Pair Corr
0.81	JUNP	PGIM Large Cap	Pair Corr
0.68	UCC	ProShares Ultra Consumer	Pair Corr
0.69	LCTD	BlackRock World ex	Pair Corr
0.7	PICK	iShares MSCI Global	Pair Corr

Moving against Invesco Etf

0.35

GBTC

Grayscale Bitcoin Trust

Pair Corr

Related Correlations Analysis

	ICOW	JEMA	RODM	SDOG	VTWG	XCEM	IYK	FTGS	DHS	EQTY
ICOW		0.96	0.74	0.46	0.87	0.95	-0.65	0.65	0.13	0.49	ICOW
JEMA	0.96		0.65	0.43	0.92	0.98	-0.74	0.71	0.1	0.44	JEMA
RODM	0.74	0.65		0.68	0.63	0.56	-0.34	0.65	0.45	0.58	RODM
SDOG	0.46	0.43	0.68		0.62	0.29	-0.09	0.8	0.89	0.52	SDOG
VTWG	0.87	0.92	0.63	0.62		0.88	-0.66	0.84	0.34	0.49	VTWG
XCEM	0.95	0.98	0.56	0.29	0.88		-0.72	0.61	-0.02	0.41	XCEM
IYK	-0.65	-0.74	-0.34	-0.09	-0.66	-0.72		-0.39	0.27	0.05	IYK
FTGS	0.65	0.71	0.65	0.8	0.84	0.61	-0.39		0.6	0.6	FTGS
DHS	0.13	0.1	0.45	0.89	0.34	-0.02	0.27	0.6		0.46	DHS
EQTY	0.49	0.44	0.58	0.52	0.49	0.41	0.05	0.6	0.46		EQTY
	ICOW	JEMA	RODM	SDOG	VTWG	XCEM	IYK	FTGS	DHS	EQTY

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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

XCEM	+ 0.98	JEMA
JEMA	+ 0.96	ICOW
XCEM	+ 0.95	ICOW
VTWG	+ 0.92	JEMA
DHS	+ 0.89	SDOG
XCEM	+ 0.88	VTWG

High negative correlations

IYK	- 0.74	JEMA
IYK	- 0.72	XCEM
IYK	- 0.66	VTWG
IYK	- 0.65	ICOW
FTGS	- 0.39	IYK
IYK	- 0.34	RODM

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
ICOW	0.56	0.05	0.04	0.15	0.69	(0.62)	1.09	(0.90)	4.50
JEMA	0.72	0.07	0.07	0.16	0.81	(0.84)	1.52	(1.05)	5.62
RODM	0.38	(0.01)	(0.10)	0.08	0.41	(0.40)	0.76	(0.77)	2.45
SDOG	0.52	(0.04)	(0.08)	0.05	0.49	(0.61)	1.11	(0.89)	3.58
VTWG	1.01	(0.01)	0.05	0.09	1.08	(1.07)	2.85	(2.04)	6.45
XCEM	0.63	0.05	0.03	0.16	0.76	(0.63)	1.20	(1.17)	4.72
IYK	0.55	(0.06)	0.00	(0.60)	0.00	0.00	1.07	(1.13)	3.41
FTGS	0.51	(0.07)	(0.12)	0.01	0.70	(0.50)	1.12	(0.94)	3.94
DHS	0.47	(0.03)	(0.12)	0.05	0.46	(0.55)	1.00	(0.88)	2.56
EQTY	0.56	(0.09)	(0.11)	0.00	0.79	(0.52)	1.06	(1.17)	3.98

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