Invesco SP Backtesting

SPVM -- USA Etf  

USD 37.54  0.0006  0.0016%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Invesco SP 500 Value With Mome and determine expected loss or profit from investing in Invesco SP over given investment horizon. Also please take a look at Invesco SP Hype Analysis, Invesco SP Correlation, Portfolio Optimization, Invesco SP Volatility as well as analyze Invesco SP Alpha and Beta and Invesco SP Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Invesco SP 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 18, 2019
0.00
If you would invest  0.00  in Invesco SP on June 19, 2019 and sell it all today you would earn a total of 0.00 from holding Invesco SP 500 Value With Mome or generate 0.0% return on investment in Invesco SP over 60 days. Invesco SP is related to or competes with Vanguard, FlexShares Quality, Citigroup Inc, and RiverFront Dynamic. The investment seeks to track the investment results of the SP 500 High Momentum Value Index

Invesco SP Upside/Downside Indicators

Downside Deviation1.13
Information Ratio0.1316
Maximum Drawdown46.0
Value At Risk(1.88)
Potential Upside1.36

Invesco SP Market Premium Indicators

Risk Adjusted Performance0.1283
Jensen Alpha0.8343
Total Risk Alpha1.04
Sortino Ratio0.7804
Treynor Ratio(1.18)

Invesco SP 500 Backtested Returns

Macroaxis considers Invesco SP to be very steady. Invesco SP 500 holds Efficiency (Sharpe) Ratio of -0.1476 which attests that the entity had -0.1476% of return per unit of risk over the last 2 months. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Invesco SP 500 exposes twenty different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Invesco SP Market Risk Adjusted Performance of (1.17), Risk Adjusted Performance of 0.1283 and Coefficient Of Variation of 773.35 to validate risk estimate we provide. The etf retains Market Volatility (i.e. Beta) of -0.7227 which attests that as returns on market increase, returns on owning Invesco SP are expected to decrease at a much smaller rate. During bear market, Invesco SP is likely to outperform the market. Even though it is essential to pay attention to Invesco SP 500 current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Invesco SP 500 exposes twenty different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 
correlation synergy

Modest reverse predictability

Invesco SP 500 Value With Mome has modest reverse predictability. Overlapping area represents the amount of predictability between Invesco SP time series from June 19, 2019 to July 19, 2019 and July 19, 2019 to August 18, 2019. 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 SP 500 price movement. The serial correlation of -0.5 indicates that about 50.0% of current Invesco SP price fluctuation can be explain by its past prices. Given that Invesco SP 500 Value With Mome has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Invesco SP for similar time interval.
Correlation Coefficient-0.5
Spearman Rank Test-0.58
Residual Average0.0
Price Variance1.36

Invesco SP 500 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Invesco SP regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Invesco SP Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Invesco SP Hype Analysis, Invesco SP Correlation, Portfolio Optimization, Invesco SP Volatility as well as analyze Invesco SP Alpha and Beta and Invesco SP Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
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