Invesco SP Risk Analysis And Volatility

SPGP -- USA Etf  

USD 56.46  1.11  2.01%

Macroaxis considers Invesco SP to be very steady. Invesco SP 500 holds Efficiency (Sharpe) Ratio of -0.0093 which attests that the entity had -0.0093% of return per unit of risk over the last 3 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Invesco SP Downside Deviation of 1.69, Risk Adjusted Performance of 0.0058 and Market Risk Adjusted Performance of 0.0054 to validate risk estimate we provide.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Invesco SP Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Invesco SP will likely underperform.
3 Months Beta |Analyze Invesco SP 500 Demand Trend
Check current 30 days Invesco SP correlation with market (DOW)
β = 1.3614

Invesco SP Central Daily Price Deviation

Invesco SP 500 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Invesco SP Typical Price indicator is an average of each day price and can be used instead of closing price when creating different Invesco SP 500 moving average lines. View also all equity analysis or get more info about typical price price transform indicator.

Invesco SP Projected Return Density Against Market

Given the investment horizon of 30 days, the etf has beta coefficient of 1.3614 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Invesco SP will likely underperform. Moreover, The company has an alpha of 0.0217 implying that it can potentially generate 0.0217% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Invesco SP is -10792.33. The daily returns are destributed with a variance of 2.1 and standard deviation of 1.45. The mean deviation of Invesco SP 500 Garp ETF is currently at 1.13. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.0217
β
Beta against DOW=1.36
σ
Overall volatility
=1.45
Ir
Information ratio =0.0099

Invesco SP Return Volatility

the ETF inherits 1.4478% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9727% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Invesco SP Investment Opportunity

Invesco SP 500 Garp ETF has a volatility of 1.45 and is 1.49 times more volatile than DOW. 12  of all equities and portfolios are less risky than Invesco SP. Compared to the overall equity markets, volatility of historical daily returns of Invesco SP 500 Garp ETF is lower than 12 () of all global equities and portfolios over the last 30 days. Use Invesco SP 500 Garp ETF to enhance returns of your portfolios. The etf experiences unexpected upward trend. Watch out for market signals. Check odds of Invesco SP to be traded at $67.75 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Invesco SP will likely underperform.

Invesco SP correlation with market

correlation synergy
Almost no diversification
Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP 500 Garp ETF and equity matching DJI index in the same portfolio.

Invesco SP Current Risk Indicators

Invesco SP Suggested Diversification Pairs

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