Invesco SP Backtesting

XMMO -- USA Stock  

USD 58.51  0.05  0.09%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Invesco SP Midcap Momentum ETF and determine expected loss or profit from investing in Invesco SP over given investment horizon. See also Invesco SP Hype Analysis, Invesco SP Correlation, Invesco SP Valuation, 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

July 24, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
October 22, 2019
0.00
If you would invest  0.00  in Invesco SP on July 24, 2019 and sell it all today you would earn a total of 0.00 from holding Invesco SP Midcap Momentum ETF or generate 0.0% return on investment in Invesco SP over 90 days. Invesco SP is related to or competes with Henderson Investment, IMPAC MORTGAGE, Unisys New, WHITING USA, FEDERAL HOME, SandRidge Permian, and AMPLIFY ENERGY. The investment seeks to track the investment results of the SP MidCap 400 Momentum Index

Invesco SP Upside/Downside Indicators

Information Ratio0.0024
Maximum Drawdown4.76
Value At Risk(2.07)
Potential Upside1.79

Invesco SP Market Premium Indicators

Risk Adjusted Performance(0.011712)
Jensen Alpha(0.02555)
Total Risk Alpha0.0057
Treynor Ratio0.4873

Invesco SP Midcap Backtested Returns

Macroaxis considers Invesco SP to be very steady. Invesco SP Midcap holds Efficiency (Sharpe) Ratio of -0.0335 which attests that the entity had -0.0335% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Invesco SP Midcap exposes twenty-eight 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 0.4973 and Risk Adjusted Performance of (0.011712) to validate risk estimate we provide. The company retains Market Volatility (i.e. Beta) of -0.0497 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 Midcap current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Invesco SP Midcap exposes twenty-eight different technical indicators which can help you to evaluate its performance. Invesco SP Midcap has expected return of -0.0367%. Please be advised to check out Invesco SP Semi Variance as well as the relationship between Daily Balance Of Power and Price Action Indicator to decide if Invesco SP Midcap past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.27 
correlation synergy

Poor predictability

Invesco SP Midcap Momentum ETF has poor predictability. Overlapping area represents the amount of predictability between Invesco SP time series from July 24, 2019 to September 7, 2019 and September 7, 2019 to October 22, 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 Midcap price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Invesco SP price fluctuation can be explain by its past prices.
Correlation Coefficient0.27
Spearman Rank Test0.25
Residual Average0.0
Price Variance0.44

Invesco SP Midcap 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 

Current Sentiment - XMMO

Invesco SP Midcap Investor Sentiment

Macroaxis portfolio users are unemotional in their outlook on investing in Invesco SP Midcap Momentum ETF. What is your judgment towards investing in Invesco SP Midcap Momentum ETF? Are you bullish or bearish?
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See also Invesco SP Hype Analysis, Invesco SP Correlation, Invesco SP Valuation, Invesco SP Volatility as well as analyze Invesco SP Alpha and Beta and Invesco SP Performance. Please also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
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