Invesco SAMPP Expected Short fall
| PSCU ETF | | | USD 64.71 -1.41 -2.13% |
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 SAMPP's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
With Expected Short fall at
-0.89, Invesco SAMPP shows its current reading on this measure. This reflects Invesco SAMPP's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -0.89 | |
Expected Short fall Peers Comparison
Relative to peers, Invesco SAMPP's Expected Short fall is above the group average of -1.12. Peer readings range from -1.6914 (Invesco SAMPP Emerging) to 0.0 (), reflecting tight clustering across the sector.
Expected Short fall Relative To Other Indicators
The chart below plots Expected Short fall against Maximum Drawdown for Invesco SAMPP 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 SAMPP to PeersMethodology, Assumptions & Data Sources
Invesco SAMPP's Expected Short fall currently stands at -0.89. Expected Short fall for Invesco SAMPP is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. The underlying data comes from exchange-reported daily closes with corporate action adjustments applied where relevant. Values are specific to the selected time horizon and may differ across measurement periods. This indicator does not constitute investment advice.
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