Invesco Diversified Correlations

DDFIX Fund

USD 19.30 0.14 0.73%

The current 90-days correlation between Invesco Diversified and Angel Oak Financial is 0.12 (i.e., Average diversification). The correlation of Invesco Diversified 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 Diversified Correlation With Market

Almost no diversification

The correlation between Invesco Diversified Dividend and DJI is 0.96 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Diversified Dividend and DJI in the same portfolio, assuming nothing else is changed.

Check out Investing Opportunities to better understand how to build diversified portfolios, which includes a position in Invesco Diversified Dividend. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in gross domestic product.

Moving together with Invesco Mutual Fund

0.98	AMHYX	Invesco High Yield	Pair Corr
0.97	ODVIX	Oppenheimer Developing	Pair Corr
0.99	CHRRX	Invesco Charter	Pair Corr
0.99	CHRSX	Invesco Charter	Pair Corr
0.98	VAFFX	Invesco American Fra	Pair Corr
0.88	ACCHX	Invesco Porate Bond	Pair Corr
0.95	OIDAX	Oppenheimer International	Pair Corr
0.66	REINX	Invesco Real Estate	Pair Corr
0.98	ITYYX	Invesco Technology	Pair Corr
0.69	OLCCX	Oppenheimer Roc	Pair Corr
0.86	IEFCX	Invesco Energy	Pair Corr
0.87	IENIX	Invesco Energy	Pair Corr
0.97	PAAJX	Invesco Active Allocation	Pair Corr
0.98	AHYCX	Invesco High Yield	Pair Corr
0.92	IGFRX	Invesco International	Pair Corr
0.92	AIIYX	Invesco International	Pair Corr
0.72	OPIGX	Oppenheimer Core Bond	Pair Corr
0.96	OPOCX	Oppenheimer Discovery	Pair Corr
1.0	VVIAX	Vanguard Value Index	Pair Corr
0.99	DOXGX	Dodge Cox Stock	Pair Corr
0.97	AMFFX	American Mutual	Pair Corr
0.99	DODGX	Dodge Stock Fund	Pair Corr

Moving against Invesco Mutual Fund

0.37	OCACX	Oppenheimer Roc Ca	Pair Corr
0.35	VMICX	Invesco Municipal Income	Pair Corr

Related Correlations Analysis

	XFINX	VFAIX	FIDAX	GCGXX	FIKBX	PGFMX	BTO
XFINX		-0.48	-0.47	-0.25	-0.48	-0.64	-0.34	XFINX
VFAIX	-0.48		0.96	0.68	0.97	0.94	0.96	VFAIX
FIDAX	-0.47	0.96		0.73	0.99	0.94	0.94	FIDAX
GCGXX	-0.25	0.68	0.73		0.69	0.69	0.61	GCGXX
FIKBX	-0.48	0.97	0.99	0.69		0.96	0.95	FIKBX
PGFMX	-0.64	0.94	0.94	0.69	0.96		0.87	PGFMX
BTO	-0.34	0.96	0.94	0.61	0.95	0.87		BTO
	XFINX	VFAIX	FIDAX	GCGXX	FIKBX	PGFMX	BTO

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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

FIKBX	+ 0.99	FIDAX
FIKBX	+ 0.97	VFAIX
FIDAX	+ 0.96	VFAIX
BTO	+ 0.96	VFAIX
PGFMX	+ 0.96	FIKBX
BTO	+ 0.95	FIKBX

High negative correlations

PGFMX	- 0.64	XFINX
FIKBX	- 0.48	XFINX
VFAIX	- 0.48	XFINX
FIDAX	- 0.47	XFINX
BTO	- 0.34	XFINX
GCGXX	- 0.25	XFINX

Risk-Adjusted Indicators

There is a big difference between Invesco Mutual Fund performing well and Invesco Diversified Mutual Fund 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 Diversified'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
XFINX	0.40	(0.05)	0.00	(0.32)	0.00	0.00	0.77	(1.41)	4.64
VFAIX	0.74	0.01	0.02	0.22	0.68	(0.81)	1.92	(1.77)	5.62
FIDAX	0.71	0.24	0.00	(1.32)	0.69	(0.77)	1.86	(1.82)	5.18
GCGXX	0.03	0.00	0.00	0.51	0.00	0.00	0.00	0.00	1.01
FIKBX	0.79	0.30	0.05	(1.63)	0.66	(0.87)	2.01	(1.79)	5.93
PGFMX	0.31	0.13	(0.16)	(2.27)	0.20	(0.37)	0.77	(0.64)	2.42
BTO	0.88	0.08	0.04	0.29	0.88	(0.96)	2.27	(1.81)	6.26

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