Invesco RAFI Expected Short fall
| IUS ETF | | | USD 63.56 -0.50 -0.78% |
Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL). Below is Invesco RAFI's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
At
-0.58, Invesco RAFI exhibits its current reading on this measure in Expected Short fall. This reflects Invesco RAFI's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.58 | |
Expected Short fall Peers Comparison
Invesco RAFI's Expected Short fall of -0.5839 falls above the -0.92 peer average. Values range from -1.2967 (Invesco DWA SmallCap) to 0.0 (), with tight clustering across the group.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Invesco RAFI and its peers. Each point represents one equity — position along the horizontal axis shows Expected Short fall while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
Compare Invesco RAFI to PeersMethodology, Assumptions & Data Sources
Invesco RAFI's Expected Short fall currently stands at -0.58. The Expected Short fall for Invesco RAFI applies a standardized calculation to daily closing prices and, where applicable, volume data across the selected period. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Results are based on historical returns and do not predict future performance. This indicator is provided for informational purposes.
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