Invesco SP Correlations

The current 90-days correlation between Invesco SP SmallCap and Invesco SP MidCap is 0.83 (i.e., Very poor 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 0.7 (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.

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Moving together with Invesco Etf

0.98	IJR	iShares Core SP	Pair Corr
0.97	IWM	iShares Russell 2000	Pair Corr
0.97	VRTIX	Vanguard Russell 2000	Pair Corr
0.87	VTWO	Vanguard Russell 2000	Pair Corr
0.98	FNDA	Schwab Fundamental Small	Pair Corr
0.87	SPSM	SPDR Portfolio SP	Pair Corr
0.89	VIOO	Vanguard SP Small	Pair Corr
0.98	PRFZ	Invesco FTSE RAFI	Pair Corr
0.85	FXED	Tidal ETF Trust	Pair Corr
0.8	MYMF	SPDR SSGA My2026	Pair Corr
0.89	VFVA	Vanguard Value Factor	Pair Corr
0.88	DFEV	Dimensional ETF Trust	Pair Corr
0.77	PALL	abrdn Physical Palladium	Pair Corr

Related Correlations Analysis

	XMMO	XSVM	XMVM	DWAS	XMHQ
XMMO		0.75	0.91	0.87	0.84	XMMO
XSVM	0.75		0.85	0.87	0.85	XSVM
XMVM	0.91	0.85		0.82	0.8	XMVM
DWAS	0.87	0.87	0.82		0.91	DWAS
XMHQ	0.84	0.85	0.8	0.91		XMHQ
	XMMO	XSVM	XMVM	DWAS	XMHQ

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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
XMMO	0.67	0.13	0.09	0.37	0.43	(0.72)	1.78	(1.02)	5.24
XSVM	0.95	0.04	0.02	0.21	1.03	(1.08)	2.33	(1.44)	6.43
XMVM	0.80	0.23	0.02	(0.75)	0.83	(0.85)	1.92	(1.25)	6.36
DWAS	0.88	0.03	(0.01)	0.21	0.86	(0.98)	2.05	(1.65)	4.96
XMHQ	0.67	(0.01)	(0.06)	0.16	0.67	(0.75)	1.35	(1.19)	6.08

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Invesco SP Correlations

Invesco SP Correlation With Market

Poor diversification

Moving together with Invesco Etf

Related Correlations Analysis

Invesco SP Constituents Risk-Adjusted Indicators

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