Innovator Correlations

PSEP Etf

USD 41.60 0.04 0.1%

The current 90-days correlation between Innovator SP 500 and Innovator Equity Power is 0.95 (i.e., Almost no diversification). The correlation of Innovator 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.

Innovator Correlation With Market

Very poor diversification

The correlation between Innovator SP 500 and DJI is 0.86 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Innovator SP 500 and DJI in the same portfolio, assuming nothing else is changed.

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Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in Innovator SP 500. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in income.

Moving together with Innovator Etf

0.88	PJAN	Innovator SP 500	Pair Corr
0.89	PJUL	Innovator SP 500	Pair Corr
1.0	PAUG	Innovator Equity Power	Pair Corr
0.89	DNOV	FT Cboe Vest	Pair Corr
0.87	PMAY	Innovator SP 500	Pair Corr
0.84	PJUN	Innovator SP 500	Pair Corr
0.7	PFFL	ETRACS 2xMonthly Pay	Pair Corr
0.69	PMBS	PIMCO Mortgage Backed	Pair Corr
0.61	CAT	Caterpillar Earnings Call This Week	Pair Corr
0.62	PFE	Pfizer Inc Earnings Call This Week	Pair Corr
0.63	DD	Dupont De Nemours	Pair Corr
0.64	MRK	Merck Company Aggressive Push	Pair Corr

Moving against Innovator Etf

0.53	MPAY	Exchange Traded Concepts	Pair Corr
0.46	MCD	McDonalds Earnings Call This Week	Pair Corr
0.58	TRV	The Travelers Companies	Pair Corr
0.34	VZ	Verizon Communications	Pair Corr
0.33	WMT	Walmart Aggressive Push	Pair Corr
0.31	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	META	MSFT	UBER	F	T	A	CRM	JPM	MRK	XOM
META		0.95	0.73	0.74	0.43	0.89	-0.29	0.89	0.21	0.56	META
MSFT	0.95		0.75	0.8	0.37	0.82	-0.31	0.95	0.27	0.57	MSFT
UBER	0.73	0.75		0.85	0.23	0.69	0.18	0.76	0.15	0.46	UBER
F	0.74	0.8	0.85		0.26	0.76	-0.16	0.87	0.46	0.72	F
T	0.43	0.37	0.23	0.26		0.46	-0.18	0.36	0.25	0.16	T
A	0.89	0.82	0.69	0.76	0.46		-0.23	0.82	0.4	0.68	A
CRM	-0.29	-0.31	0.18	-0.16	-0.18	-0.23		-0.28	-0.51	-0.37	CRM
JPM	0.89	0.95	0.76	0.87	0.36	0.82	-0.28		0.39	0.63	JPM
MRK	0.21	0.27	0.15	0.46	0.25	0.4	-0.51	0.39		0.55	MRK
XOM	0.56	0.57	0.46	0.72	0.16	0.68	-0.37	0.63	0.55		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

MSFT	+ 0.95	META
JPM	+ 0.95	MSFT
A	+ 0.89	META
JPM	+ 0.89	META
JPM	+ 0.87	F
F	+ 0.85	UBER

High negative correlations

MRK	- 0.51	CRM
XOM	- 0.37	CRM
CRM	- 0.31	MSFT
CRM	- 0.29	META
JPM	- 0.28	CRM
CRM	- 0.23	A

Innovator Competition Risk-Adjusted Indicators

There is a big difference between Innovator Etf performing well and Innovator 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 Innovator'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	1.32	0.22	0.21	0.33	0.83	(1.59)	3.62	(2.00)	10.48
MSFT	0.72	0.33	0.45	0.68	0.00	(0.90)	2.32	(0.94)	8.85
UBER	1.50	0.01	0.01	0.16	1.55	(1.78)	4.11	(2.54)	10.87
F	1.29	0.03	0.01	0.19	1.44	(1.35)	2.63	(2.33)	7.46
T	0.94	(0.01)	(0.12)	0.05	1.23	(0.99)	2.03	(2.23)	5.71
A	1.43	(0.11)	0.01	0.10	1.75	(1.50)	2.82	(2.89)	14.01
CRM	1.10	(0.18)	(0.09)	0.01	1.53	(1.01)	2.13	(2.57)	8.50
JPM	0.79	0.15	0.14	0.32	0.58	(0.91)	1.86	(1.31)	5.90
MRK	1.40	(0.13)	(0.04)	0.06	1.90	(1.33)	2.90	(3.31)	10.58
XOM	1.05	0.05	(0.06)	0.61	1.37	(1.02)	2.14	(2.58)	6.26

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