Invesco Municipal Backtesting

VMINX -- USA Fund  

USD 13.54  0.02  0.15%

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

Invesco Municipal 'What if' Analysis

July 25, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 23, 2019
If you would invest  0.00  in Invesco Municipal on July 25, 2019 and sell it all today you would earn a total of 0.00 from holding Invesco Municipal Income Fund I or generate 0.0% return on investment in Invesco Municipal over 90 days. Invesco Municipal is related to or competes with Vanguard High, Vanguard High, Franklin Federal, Franklin Federal, Wells Fargo, Wells Fargo, and Nuveen Flagship. The investment seeks to provide investors with a high level of current income exempt from federal income tax, consistent...

Invesco Municipal Upside/Downside Indicators

Downside Deviation0.2746
Information Ratio0.2129
Maximum Drawdown1.11
Value At Risk(0.29)
Potential Upside0.2967

Invesco Municipal Market Premium Indicators

Risk Adjusted Performance0.0378
Jensen Alpha0.0055
Total Risk Alpha0.0118
Sortino Ratio0.1434
Treynor Ratio0.7126

Invesco Municipal Backtested Returns

We consider Invesco Municipal very steady. Invesco Municipal holds Efficiency (Sharpe) Ratio of 0.076 which attests that the entity had 0.076% of return per unit of risk over the last 3 months. Our philosophy towards determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Invesco Municipal which you can use to evaluate future volatility of the entity. Please check out Invesco Municipal Risk Adjusted Performance of 0.0378, Market Risk Adjusted Performance of 0.7226 and Downside Deviation of 0.2746 to validate if risk estimate we provide are consistent with the epected return of 0.0143%. The fund retains Market Volatility (i.e. Beta) of 0.0074 which attests that as returns on market increase, Invesco Municipal returns are expected to increase less than the market. However during bear market, the loss on holding Invesco Municipal will be expected to be smaller as well. Although it is extremely important to respect Invesco Municipal current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating Invesco Municipal technical indicators you can presently evaluate if the expected return of 0.0143% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 
correlation synergy

Very weak predictability

Invesco Municipal Income Fund I has very weak predictability. Overlapping area represents the amount of predictability between Invesco Municipal time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 Municipal price movement. The serial correlation of 0.17 indicates that over 17.0% of current Invesco Municipal price fluctuation can be explain by its past prices.
Correlation Coefficient0.17
Spearman Rank Test0.14
Residual Average0.0
Price Variance0.0

Invesco Municipal lagged returns against current returns

 Current and Lagged Values 

Invesco Municipal regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Invesco Municipal Lagged Returns

 Regressed Prices 

Current Sentiment - VMINX

Invesco Municipal Investor Sentiment

Macroaxis portfolio users are unemotional in their outlook on investing in Invesco Municipal Income Fund I. What is your judgment towards investing in Invesco Municipal Income Fund I? Are you bullish or bearish?
50% Bullish
50% Bearish

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Also please take a look at Invesco Municipal Hype Analysis, Invesco Municipal Correlation, Portfolio Optimization, Invesco Municipal Volatility as well as analyze Invesco Municipal Alpha and Beta and Invesco Municipal Performance. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.