Invesco Trust Risk Analysis And Volatility Evaluation

XVTNX -- USA Fund  

USD 13.82  0.02  0.14%

Macroaxis considers Invesco Trust to be not too risky. Invesco Trust for holds Efficiency (Sharpe) Ratio of -0.7437 which attests that Invesco Trust for had -0.7437% 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 Trust for 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 Trust Market Risk Adjusted Performance of 2.7 and Risk Adjusted Performance of 0.36 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Invesco Trust Market Sensitivity

As returns on market increase, returns on owning Invesco Trust are expected to decrease at a much smaller rate. During bear market, Invesco Trust is likely to outperform the market.
One Month Beta |Analyze Invesco Trust for Demand Trend
Check current 30 days Invesco Trust correlation with market (DOW)
β = -0.034
Invesco Trust Almost negative betaInvesco Trust for Beta Legend

Invesco Trust for Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Invesco Trust for Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Invesco Trust Projected Return Density Against Market

Assuming 30 trading days horizon, Invesco Trust for Investment Gr has beta of -0.034 . This means as returns on benchmark increase, returns on holding Invesco Trust are expected to decrease at a much smaller rate. During bear market, however, Invesco Trust for Investment Gr is likely to outperform the market. Additionally, Invesco Trust for Investment Gr 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 Trust is -134.47. The daily returns are destributed with a variance of 0.01 and standard deviation of 0.11. The mean deviation of Invesco Trust for Investment Gr is currently at 0.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.09
β
Beta against DOW=0.03
σ
Overall volatility
=0.11
Ir
Information ratio =2.27

Invesco Trust Return Volatility

Invesco Trust for Investment Gr shows 0.1147% volatility of returns over 30 trading days. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Invesco Trust Investment Opportunity

DOW has a standard deviation of returns of 0.44 and is 4.0 times more volatile than Invesco Trust for Investment Gr. 1% of all equities and portfolios are less risky than Invesco Trust. Compared to the overall equity markets, volatility of historical daily returns of Invesco Trust for Investment Gr is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Invesco Trust for Investment Gr to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Invesco Trust to be traded at $13.68 in 30 days. As returns on market increase, returns on owning Invesco Trust are expected to decrease at a much smaller rate. During bear market, Invesco Trust is likely to outperform the market.

Invesco Trust correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Invesco Trust for Investment G and equity matching DJI index in the same portfolio.

Invesco Trust Volatility Indicators

Invesco Trust for Investment Gr Current Risk Indicators

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