Invesco SP Risk Analysis And Volatility

XMMO -- USA Etf  

USD 57.96  0.30  0.51%

Macroaxis considers Invesco SP to be very steady. Invesco SP Midcap holds Efficiency (Sharpe) Ratio of -0.0357 which attests that the entity had -0.0357% 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 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 (0.07) and Risk Adjusted Performance of (0.049565) to validate risk estimate we provide.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

Very Small

90 Days Economic Sensitivity

Follows market closely
Horizon     30 Days    Login   to change

Invesco SP Market Sensitivity

As returns on market increase, Invesco SP returns are expected to increase less than the market. However during bear market, the loss on holding Invesco SP will be expected to be smaller as well.
3 Months Beta |Analyze Invesco SP Midcap Demand Trend
Check current 30 days Invesco SP correlation with market (DOW)
β = 0.8481

Invesco SP Central Daily Price Deviation

Invesco SP Midcap Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Invesco SP Midcap price series. View also all equity analysis or get more info about median price price transform indicator.

Invesco SP Projected Return Density Against Market

Given the investment horizon of 30 days, Invesco SP has beta of 0.8481 . This means as returns on market go up, Invesco SP average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Invesco SP Midcap Momentum ETF will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Invesco SP Midcap is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Invesco SP is -2798.01. The daily returns are destributed with a variance of 1.19 and standard deviation of 1.09. The mean deviation of Invesco SP Midcap Momentum ETF is currently at 0.85. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.04
β
Beta against DOW=0.85
σ
Overall volatility
=1.09
Ir
Information ratio =0.03

Invesco SP Return Volatility

the ETF venture inherits 1.0919% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9804% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Invesco SP Investment Opportunity

Invesco SP Midcap Momentum ETF has a volatility of 1.09 and is 1.11 times more volatile than DOW. 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 Midcap Momentum ETF is lower than 9 () of all global equities and portfolios over the last 30 days. Use Invesco SP Midcap Momentum ETF to protect your portfolios against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of Invesco SP to be traded at $56.8 in 30 days. . As returns on market increase, Invesco SP returns are expected to increase less than the market. However during bear market, the loss on holding Invesco SP will be expected to be smaller as well.

Invesco SP correlation with market

correlation synergy
Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Invesco SP Midcap Momentum ETF and equity matching DJI index in the same portfolio.

Invesco SP Current Risk Indicators

Invesco SP Suggested Diversification Pairs

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