Invesco FTSE Expected Short fall
| PXH ETF | | | USD 29.35 0.17 0.58% |
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 FTSE's current Expected Short fall with peer comparisons and related risk metrics.
Current Expected Short fall Value
Invesco FTSE carries a Expected Short fall of
-1.02, consistent with its current reading on this measure. This reflects Invesco FTSE's positioning relative to its own recent range within ETF.
Expected Shortfall | = | Conditional VAR |
| = | -1.02 | |
Expected Short fall Peers Comparison
Relative to peers, Invesco FTSE's Expected Short fall is above the group average of -1.1. Peer readings range from -1.5208 (Invesco SAMPP International) 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 FTSE 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 FTSE to PeersMethodology, Assumptions & Data Sources
Invesco FTSE has a current Expected Short fall reading of -1.02. The Expected Short fall for Invesco FTSE is produced by transforming raw price history into a standardized measure according to the indicator's defined methodology. Data sources include daily closing prices from supported exchanges, with standard corporate action adjustments applied. 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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