Invesco Russell 1000 Etf Market Value
| IUMF Etf | 22.33 0.38 1.73% |
| Symbol | Invesco |
Invesco Russell 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Invesco Russell's etf what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Invesco Russell.
| 05/06/2024 |
| 06/05/2024 |
If you would invest 0.00 in Invesco Russell on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco Russell 1000 or generate 0.0% return on investment in Invesco Russell over 30 days.
Invesco Russell Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Invesco Russell's etf current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Invesco Russell 1000 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.637 | |||
| Information Ratio | 0.1457 | |||
| Maximum Drawdown | 3.14 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 0.9195 |
Invesco Russell Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Russell's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Russell's standard deviation. In reality, there are many statistical measures that can use Invesco Russell historical prices to predict the future Invesco Russell's volatility.| Risk Adjusted Performance | 0.1111 | |||
| Jensen Alpha | 0.0956 | |||
| Total Risk Alpha | 0.0854 | |||
| Sortino Ratio | 0.133 | |||
| Treynor Ratio | (0.61) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Russell's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Invesco Russell 1000 Backtested Returns
We consider Invesco Russell very steady. Invesco Russell 1000 holds Efficiency (Sharpe) Ratio of 0.0933, which attests that the entity had a 0.0933% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Invesco Russell 1000, which you can use to evaluate the volatility of the entity. Please check out Invesco Russell's Market Risk Adjusted Performance of (0.60), downside deviation of 0.637, and Risk Adjusted Performance of 0.1111 to validate if the risk estimate we provide is consistent with the expected return of 0.0607%. The etf retains a Market Volatility (i.e., Beta) of -0.16, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Invesco Russell are expected to decrease at a much lower rate. During the bear market, Invesco Russell is likely to outperform the market.
Auto-correlation | -0.65 |
Very good reverse predictability
Invesco Russell 1000 has very good reverse predictability. Overlapping area represents the amount of predictability between Invesco Russell time series from 6th of May 2024 to 21st of May 2024 and 21st of May 2024 to 5th of June 2024. 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 Russell 1000 price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Invesco Russell price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Invesco Russell 1000 lagged returns against current returns
Autocorrelation, which is Invesco Russell etf's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Invesco Russell's etf expected returns. We can calculate the autocorrelation of Invesco Russell returns to help us make a trade decision. For example, suppose you find that Invesco Russell has exhibited high autocorrelation historically, and you observe that the etf is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Invesco Russell regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Invesco Russell etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Russell etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Invesco Russell etf over time.
Current vs Lagged Prices |
| Timeline |
Invesco Russell Lagged Returns
When evaluating Invesco Russell's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Russell etf have on its future price. Invesco Russell autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Invesco Russell autocorrelation shows the relationship between Invesco Russell etf current value and its past values and can show if there is a momentum factor associated with investing in Invesco Russell 1000.
Regressed Prices |
| Timeline |
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