Invesco Low Volatility Fund Market Value
| SCIUX Fund | USD 10.36 0.06 0.58% |
| Symbol | Invesco |
Invesco Low 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Invesco Low's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Invesco Low.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Invesco Low on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco Low Volatility or generate 0.0% return on investment in Invesco Low over 30 days. Invesco Low is related to or competes with Franklin Gold, First Eagle, Fidelity Advisor, Oppenheimer Gold, Wells Fargo, and James Balanced. The fund invests, under normal circumstances, at least 80 percent of its net assets in securities of U.S More
Invesco Low Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Invesco Low's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Invesco Low Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4909 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.28 | |||
| Value At Risk | (0.84) | |||
| Potential Upside | 0.8459 |
Invesco Low Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Low's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Low's standard deviation. In reality, there are many statistical measures that can use Invesco Low historical prices to predict the future Invesco Low's volatility.| Risk Adjusted Performance | 0.0704 | |||
| Jensen Alpha | 0.0457 | |||
| Total Risk Alpha | 0.0014 | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 1.58 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Low's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Invesco Low Volatility Backtested Returns
We consider Invesco Low very steady. Invesco Low Volatility holds Efficiency (Sharpe) Ratio of 0.0765, which attests that the entity had a 0.0765% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Invesco Low Volatility, which you can use to evaluate the volatility of the entity. Please check out Invesco Low's Downside Deviation of 0.4909, market risk adjusted performance of 1.59, and Risk Adjusted Performance of 0.0704 to validate if the risk estimate we provide is consistent with the expected return of 0.0374%. The fund retains a Market Volatility (i.e., Beta) of 0.03, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Invesco Low's returns are expected to increase less than the market. However, during the bear market, the loss of holding Invesco Low is expected to be smaller as well.
Auto-correlation | 0.46 |
Average predictability
Invesco Low Volatility has average predictability. Overlapping area represents the amount of predictability between Invesco Low time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Invesco Low Volatility price movement. The serial correlation of 0.46 indicates that about 46.0% of current Invesco Low price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.46 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Invesco Low Volatility lagged returns against current returns
Autocorrelation, which is Invesco Low mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Invesco Low's mutual fund expected returns. We can calculate the autocorrelation of Invesco Low returns to help us make a trade decision. For example, suppose you find that Invesco Low has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
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Invesco Low regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Invesco Low mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Low mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Invesco Low mutual fund over time.
Current vs Lagged Prices |
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Invesco Low Lagged Returns
When evaluating Invesco Low's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Low mutual fund have on its future price. Invesco Low autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Invesco Low autocorrelation shows the relationship between Invesco Low mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco Low Volatility.
Regressed Prices |
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Currently Active Assets on Macroaxis
Check out Invesco Low Correlation, Invesco Low Volatility and Invesco Low Alpha and Beta module to complement your research on Invesco Low. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Invesco Low technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.