Invesco DB Correlations

UDN Etf

USD 18.86 0.03 0.16%

The current 90-days correlation between Invesco DB Dollar and Simplify Volatility Premium is -0.22 (i.e., Very good diversification). A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco DB moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco DB Dollar moves in either direction, the perfectly negatively correlated security will move in the opposite direction.

Invesco DB Correlation With Market

Good diversification

The correlation between Invesco DB Dollar 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 Dollar and DJI in the same portfolio, assuming nothing else is changed.

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 unemployment.

Moving together with Invesco Etf

0.72	CEFD	ETRACS Monthly Pay	Pair Corr
0.67	FBGX	UBS	Pair Corr
0.94	KO	Coca Cola Fiscal Year End 11th of February 2025	Pair Corr
0.9	MMM	3M Company Fiscal Year End 28th of January 2025	Pair Corr
0.73	AXP	American Express Fiscal Year End 24th of January 2025	Pair Corr
0.64	GE	GE Aerospace Fiscal Year End 28th of January 2025	Pair Corr
0.8	TRV	The Travelers Companies Fiscal Year End 17th of January 2025	Pair Corr
0.83	T	ATT Inc Aggressive Push	Pair Corr
0.93	MCD	McDonalds Fiscal Year End 3rd of February 2025	Pair Corr
0.93	IBM	International Business Fiscal Year End 22nd of January 2025	Pair Corr
0.91	JNJ	Johnson Johnson Fiscal Year End 28th of January 2025	Pair Corr
0.83	WMT	Walmart Aggressive Push	Pair Corr
0.76	PG	Procter Gamble	Pair Corr
0.69	CSCO	Cisco Systems Aggressive Push	Pair Corr

Moving against Invesco Etf

0.95	UUP	Invesco DB Dollar	Pair Corr
0.95	EUO	ProShares UltraShort Euro	Pair Corr
0.95	VIIX	VIIX	Pair Corr
0.93	YCS	ProShares UltraShort Yen	Pair Corr
0.69	SOXX	iShares Semiconductor ETF	Pair Corr
0.66	SMH	VanEck Semiconductor ETF	Pair Corr
0.65	TECL	Direxion Daily Technology	Pair Corr
0.64	USD	ProShares Ultra Semi	Pair Corr
0.59	ROM	ProShares Ultra Tech	Pair Corr
0.57	FNGU	MicroSectors FANG Index	Pair Corr
0.51	FNGO	MicroSectors FANG Index	Pair Corr
0.5	QLD	ProShares Ultra QQQ	Pair Corr
0.81	DIS	Walt Disney Aggressive Push	Pair Corr
0.75	MSFT	Microsoft Aggressive Push	Pair Corr
0.42	HPQ	HP Inc Fiscal Year End 19th of November 2024	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.07	0.68	-0.21	0.18	0.04	0.24	0.12	-0.21	-0.06	META
MSFT	0.07		0.3	0.78	-0.59	-0.78	-0.04	-0.36	0.83	-0.5	MSFT
UBER	0.68	0.3		0.23	0.02	-0.05	0.22	0.22	0.17	-0.09	UBER
F	-0.21	0.78	0.23		-0.44	-0.62	0.03	-0.04	0.73	-0.23	F
T	0.18	-0.59	0.02	-0.44		0.57	0.32	0.58	-0.68	0.3	T
A	0.04	-0.78	-0.05	-0.62	0.57		0.27	0.55	-0.7	0.56	A
CRM	0.24	-0.04	0.22	0.03	0.32	0.27		0.7	-0.32	0.62	CRM
JPM	0.12	-0.36	0.22	-0.04	0.58	0.55	0.7		-0.48	0.65	JPM
MRK	-0.21	0.83	0.17	0.73	-0.68	-0.7	-0.32	-0.48		-0.52	MRK
XOM	-0.06	-0.5	-0.09	-0.23	0.3	0.56	0.62	0.65	-0.52		XOM
	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM

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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

MRK	+ 0.83	MSFT
F	+ 0.78	MSFT
MRK	+ 0.73	F
JPM	+ 0.7	CRM
UBER	+ 0.68	META
XOM	+ 0.65	JPM

High negative correlations

A	- 0.78	MSFT
MRK	- 0.7	A
MRK	- 0.68	T
A	- 0.62	F
T	- 0.59	MSFT
XOM	- 0.52	MRK

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
META	1.53	0.00	(0.01)	0.09	2.16	(1.47)	3.86	(3.21)	11.55
MSFT	0.99	(0.09)	(0.07)	(0.01)	1.46	(0.91)	1.94	(2.45)	5.77
UBER	1.83	(0.02)	0.00	0.08	2.16	(2.26)	5.29	(3.33)	13.81
F	1.73	(0.27)	0.00	(0.08)	0.00	0.00	3.21	(3.24)	22.50
T	0.88	0.31	0.17	(26.40)	0.87	(1.01)	2.13	(1.83)	7.97
A	1.10	(0.03)	(0.02)	0.06	1.39	(1.08)	2.69	(2.08)	6.98
CRM	1.32	(0.02)	0.00	0.08	1.50	(1.38)	2.93	(2.22)	7.90
JPM	1.09	(0.03)	0.00	0.07	1.66	(0.96)	2.05	(2.38)	7.98
MRK	1.09	(0.18)	0.00	10.67	0.00	0.00	1.71	(2.09)	13.12
XOM	1.06	(0.07)	(0.07)	0.00	1.33	(1.10)	2.10	(2.09)	6.61

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