Invesco Small Cap Fund Market Value
| SMEIX Fund | USD 16.41 0.19 1.14% |
| Symbol | Invesco |
Invesco Small '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 Small'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 Small.
| 01/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Invesco Small on January 17, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco Small Cap or generate 0.0% return on investment in Invesco Small over 90 days. Invesco Small is related to or competes with Invesco Municipal, Invesco Municipal, Invesco Municipal, Oppenheimer Rising, Invesco High, Oppenheimer Strategic, and Invesco High. The fund invests at least 80 percent of its net assets in equity securities of small-capitalization issuers More
Invesco Small 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 Small'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 Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.04 | |||
| Information Ratio | 0.0301 | |||
| Maximum Drawdown | 4.4 | |||
| Value At Risk | (1.72) | |||
| Potential Upside | 1.49 |
Invesco Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Small's standard deviation. In reality, there are many statistical measures that can use Invesco Small historical prices to predict the future Invesco Small's volatility.| Risk Adjusted Performance | 0.0627 | |||
| Jensen Alpha | 0.0843 | |||
| Sortino Ratio | 0.0283 | |||
| Treynor Ratio | (1.95) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Small'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 Small Cap Backtested Returns
We consider Invesco Small very steady. Invesco Small Cap holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Invesco Small Cap, which you can use to evaluate the volatility of the entity. Please check out Invesco Small's Risk Adjusted Performance of 0.0627, downside deviation of 1.04, and Market Risk Adjusted Performance of (1.94) to validate if the risk estimate we provide is consistent with the expected return of 0.1%. The fund retains a Market Volatility (i.e., Beta) of -0.0421, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Invesco Small are expected to decrease at a much lower rate. During the bear market, Invesco Small is likely to outperform the market.
Auto-correlation | 0.08 |
Virtually no predictability
Invesco Small Cap has virtually no predictability. Overlapping area represents the amount of predictability between Invesco Small time series from 17th of January 2024 to 2nd of March 2024 and 2nd of March 2024 to 16th 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 Small Cap price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Invesco Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Invesco Small Cap lagged returns against current returns
Autocorrelation, which is Invesco Small 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 Small's mutual fund expected returns. We can calculate the autocorrelation of Invesco Small returns to help us make a trade decision. For example, suppose you find that Invesco Small 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 Small 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 Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Small 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 Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Invesco Small Lagged Returns
When evaluating Invesco Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Small mutual fund have on its future price. Invesco Small 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 Small autocorrelation shows the relationship between Invesco Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco Small Cap.
Regressed Prices |
| Timeline |
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Check out Invesco Small Correlation, Invesco Small Volatility and Invesco Small Alpha and Beta module to complement your research on Invesco Small. You can also try the Bonds Directory module to find actively traded corporate debentures issued by US companies.
Invesco Small 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.