Invesco Global (Ireland) Risk Analysis And Volatility Evaluation

F00000U3UU -- Ireland Fund  

AUD 8.13  0.01  0.12%

Macroaxis considers Invesco Global to be unknown risk. Invesco Global High holds Efficiency (Sharpe) Ratio of -0.3771 which attests that Invesco Global High had -0.3771% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Invesco Global High exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Invesco Global Market Risk Adjusted Performance of 0.28 and Risk Adjusted Performance of 0.13 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Invesco Global Market Sensitivity

As returns on market increase, Invesco Global returns are expected to increase less than the market. However during bear market, the loss on holding Invesco Global will be expected to be smaller as well.
One Month Beta |Analyze Invesco Global High Demand Trend
Check current 30 days Invesco Global correlation with market (DOW)
β = 0.6559
Invesco Global Small BetaInvesco Global High Beta Legend

Invesco Global High Technical Analysis

Transformation
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Invesco Global Projected Return Density Against Market

Assuming 30 trading days horizon, Invesco Global has beta of 0.6559 suggesting as returns on market go up, Invesco Global average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Invesco Global High Income A AUD Inc Hdg will be expected to be much smaller as well. Additionally, Invesco Global High Income A AUD Inc Hdg has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Invesco Global is -265.19. The daily returns are destributed with a variance of 0.11 and standard deviation of 0.32. The mean deviation of Invesco Global High Income A AUD Inc Hdg is currently at 0.24. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.3
β
Beta against DOW=0.66
σ
Overall volatility
=0.32
Ir
Information ratio =0.58

Invesco Global Return Volatility

Invesco Global High Income A AUD Inc Hdg accepts 0.3241% volatility on return distribution over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Invesco Global Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

Invesco Global Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 1.38 times more volatile than Invesco Global High Income A AUD Inc Hdg. 2% of all equities and portfolios are less risky than Invesco Global. Compared to the overall equity markets, volatility of historical daily returns of Invesco Global High Income A AUD Inc Hdg is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Invesco Global High Income A AUD Inc Hdg to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Invesco Global to be traded at A$8.05 in 30 days. As returns on market increase, Invesco Global returns are expected to increase less than the market. However during bear market, the loss on holding Invesco Global will be expected to be smaller as well.

Invesco Global correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Invesco Global High Income A A and equity matching DJI index in the same portfolio.

Invesco Global Volatility Indicators

Invesco Global High Income A AUD Inc Hdg Current Risk Indicators

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