Invesco Mutual Fund Volatility

VSRAX -  USA Fund  

USD 20.14  0.000001  0.00%

Invesco Small Cap holds Efficiency (Sharpe) Ratio of -0.0474, which attests that the entity had -0.0474% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Invesco Small Cap 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 Small market risk adjusted performance of 0.3629, and Risk Adjusted Performance of (0.06) to validate the risk estimate we provide.

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Invesco Small Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Invesco daily returns, and it is calculated using variance and standard deviation. We also use Invesco's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Invesco Small volatility.

480 Days Market Risk

Very steady

Chance of Distress

Below Average

480 Days Economic Sensitivity

Almost neglects market trends

Invesco Small Market Sensitivity And Downside Risk

Invesco Small's beta coefficient measures the volatility of Invesco mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Invesco mutual fund's returns against your selected market. In other words, Invesco Small's beta of -0.37 provides an investor with an approximation of how much risk Invesco Small mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Invesco's beta means in this case. As returns on the market increase, returns on owning Invesco Small are expected to decrease at a much lower rate. During the bear market, Invesco Small is likely to outperform the market.
3 Months Beta |Analyze Invesco Small Cap Demand Trend
Check current 90 days Invesco Small correlation with market (DOW)

Invesco Beta

    
  -0.37  
Invesco standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  1.35  
It is essential to understand the difference between upside risk (as represented by Invesco Small's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Invesco Small stock's daily returns or price. Since the actual investment returns on holding a position in Invesco Small stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Invesco Small.

Invesco Small Cap Mutual Fund Volatility Analysis

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Invesco Small Projected Return Density Against Market

Assuming the 90 days horizon Invesco Small Cap has a beta of -0.3718 . This entails as returns on benchmark increase, returns on holding Invesco Small are expected to decrease at a much lower rate. During the bear market, however, Invesco Small Cap is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Invesco Small or Invesco sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Invesco Small stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Invesco stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Invesco Small Cap is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Invesco Small Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Invesco Small or Invesco sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Invesco Small stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Invesco stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of Invesco Small is -2109.12. The daily returns are distributed with a variance of 1.83 and standard deviation of 1.35. The mean deviation of Invesco Small Cap is currently at 1.14. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.12
β
Beta against DOW-0.37
σ
Overall volatility
1.35
Ir
Information ratio -0.11

Invesco Small Mutual Fund Return Volatility

Invesco Small historical daily return volatility represents how much Invesco Small stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 1.3516% volatility of returns over 90 . By contrast, DOW inherits 0.669% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Invesco Small Volatility

Volatility is a rate at which the price of Invesco Small or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Invesco Small may increase or decrease. In other words, similar to Invesco's beta indicator, it measures the risk of Invesco Small and helps estimate the fluctuations that may happen in a short period of time. So if prices of Invesco Small fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The fund invests, under normal circumstances, at least 80 percent of its net assets in securities of small capitalization companies, and in derivatives and other instruments that have economic characteristics similar to such securities. Invesco Small is traded on NASDAQ Exchange in the United States.

Invesco Small Investment Opportunity

Invesco Small Cap has a volatility of 1.35 and is 2.01 times more volatile than DOW. 11  of all equities and portfolios are less risky than Invesco Small. Compared to the overall equity markets, volatility of historical daily returns of Invesco Small Cap is lower than 11 () of all global equities and portfolios over the last 90 days. Use Invesco Small Cap to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Invesco Small to be traded at $21.15 in 90 days. . Let's try to break down what Invesco's beta means in this case. As returns on the market increase, returns on owning Invesco Small are expected to decrease at a much lower rate. During the bear market, Invesco Small is likely to outperform the market.

Good diversification

The correlation between Invesco Small Cap and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Invesco Small Cap and DJI in the same portfolio assuming nothing else is changed.

Invesco Small Additional Risk Indicators

The analysis of Invesco Small's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Invesco Small's investment and either accepting that risk or mitigating it. Along with some common measures of Invesco Small stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.06)
Market Risk Adjusted Performance0.3629
Mean Deviation1.13
Coefficient Of Variation(1,122)
Standard Deviation1.36
Variance1.85
Information Ratio(0.11)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Invesco Small Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Invesco Small as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Invesco Small's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Invesco Small's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Invesco Small Cap.
Also, please take a look at World Market Map. Note that the Invesco Small Cap information on this page should be used as a complementary analysis to other Invesco Small's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.

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When running Invesco Small Cap price analysis, check to measure Invesco Small's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Invesco Small is operating at the current time. Most of Invesco Small's value examination focuses on studying past and present price action to predict the probability of Invesco Small's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Invesco Small's price. Additionally, you may evaluate how the addition of Invesco Small to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Invesco Small's value and its price as these two are different measures arrived at by different means. Investors typically determine Invesco Small value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Invesco Small's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.