Invesco Balanced Risk Modity Fund Market Value
| BRCNX Fund | USD 7.10 0.04 0.57% |
| Symbol | Invesco |
Invesco Balanced-risk '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 Balanced-risk'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 Balanced-risk.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Invesco Balanced-risk on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco Balanced Risk Modity or generate 0.0% return on investment in Invesco Balanced-risk over 30 days. Invesco Balanced-risk is related to or competes with Invesco Municipal, Invesco Municipal, Invesco Municipal, Oppenheimer Rising, Invesco High, Oppenheimer Strategic, and Oppenheimer International. The fund invests, under normal conditions, in derivatives and other commodity-linked instruments whose performance is ex... More
Invesco Balanced-risk 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 Balanced-risk'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 Balanced Risk Modity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5612 | |||
| Information Ratio | 0.1047 | |||
| Maximum Drawdown | 2.13 | |||
| Value At Risk | (0.89) | |||
| Potential Upside | 1.05 |
Invesco Balanced-risk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Balanced-risk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Balanced-risk's standard deviation. In reality, there are many statistical measures that can use Invesco Balanced-risk historical prices to predict the future Invesco Balanced-risk's volatility.| Risk Adjusted Performance | 0.1552 | |||
| Jensen Alpha | 0.1317 | |||
| Total Risk Alpha | 0.0649 | |||
| Sortino Ratio | 0.1059 | |||
| Treynor Ratio | 3.22 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Balanced-risk'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 Balanced Risk Backtested Returns
We consider Invesco Balanced-risk very steady. Invesco Balanced Risk holds Efficiency (Sharpe) Ratio of 0.19, which attests that the entity had a 0.19% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Invesco Balanced Risk, which you can use to evaluate the volatility of the entity. Please check out Invesco Balanced-risk's Market Risk Adjusted Performance of 3.23, risk adjusted performance of 0.1552, and Downside Deviation of 0.5612 to validate if the risk estimate we provide is consistent with the expected return of 0.11%. The fund retains a Market Volatility (i.e., Beta) of 0.0419, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Invesco Balanced-risk's returns are expected to increase less than the market. However, during the bear market, the loss of holding Invesco Balanced-risk is expected to be smaller as well.
Auto-correlation | -0.51 |
Good reverse predictability
Invesco Balanced Risk Modity has good reverse predictability. Overlapping area represents the amount of predictability between Invesco Balanced-risk time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd 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 Balanced Risk price movement. The serial correlation of -0.51 indicates that about 51.0% of current Invesco Balanced-risk price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.51 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Invesco Balanced Risk lagged returns against current returns
Autocorrelation, which is Invesco Balanced-risk 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 Balanced-risk's mutual fund expected returns. We can calculate the autocorrelation of Invesco Balanced-risk returns to help us make a trade decision. For example, suppose you find that Invesco Balanced-risk 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 |
| Timeline |
Invesco Balanced-risk 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 Balanced-risk mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Balanced-risk 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 Balanced-risk mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Invesco Balanced-risk Lagged Returns
When evaluating Invesco Balanced-risk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Balanced-risk mutual fund have on its future price. Invesco Balanced-risk 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 Balanced-risk autocorrelation shows the relationship between Invesco Balanced-risk mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco Balanced Risk Modity.
Regressed Prices |
| Timeline |
Pair Trading with Invesco Balanced-risk
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Invesco Balanced-risk position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Invesco Balanced-risk will appreciate offsetting losses from the drop in the long position's value.Moving against Invesco Mutual Fund
| 0.44 | EMLDX | Invesco Emerging Markets | PairCorr |
The ability to find closely correlated positions to Invesco Balanced-risk could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco Balanced-risk when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco Balanced-risk - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco Balanced Risk Modity to buy it.
The correlation of Invesco Balanced-risk 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 perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco Balanced-risk moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco Balanced Risk moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Invesco Balanced-risk can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Invesco Balanced-risk Correlation, Invesco Balanced-risk Volatility and Invesco Balanced-risk Alpha and Beta module to complement your research on Invesco Balanced-risk. You can also try the ETF Categories module to list of ETF categories grouped based on various criteria, such as the investment strategy or type of investments.
Invesco Balanced-risk 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.