Invesco Fundamental High Etf Market Value
| PFH-F Etf | CAD 18.15 0.05 0.28% |
| Symbol | Invesco |
Invesco Fundamental '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 Fundamental'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 Fundamental.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in Invesco Fundamental on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding Invesco Fundamental High or generate 0.0% return on investment in Invesco Fundamental over 720 days. Invesco Fundamental is related to or competes with IShares SPTSX, IShares Core, IShares Core, BMO Aggregate, IShares Canadian, BMO SPTSX, and BMO SP. The ETF seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of the RAFI ... More
Invesco Fundamental 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 Fundamental'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 Fundamental High upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2668 | |||
| Information Ratio | (0.44) | |||
| Maximum Drawdown | 1.33 | |||
| Value At Risk | (0.44) | |||
| Potential Upside | 0.5556 |
Invesco Fundamental Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Fundamental's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Fundamental's standard deviation. In reality, there are many statistical measures that can use Invesco Fundamental historical prices to predict the future Invesco Fundamental's volatility.| Risk Adjusted Performance | 0.0184 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.44) | |||
| Treynor Ratio | 0.0323 |
Invesco Fundamental High Backtested Returns
Currently, Invesco Fundamental High is very steady. Invesco Fundamental High holds Efficiency (Sharpe) Ratio of 0.0465, which attests that the entity had a 0.0465% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Invesco Fundamental High, which you can use to evaluate the volatility of the entity. Please check out Invesco Fundamental's Market Risk Adjusted Performance of 0.0423, downside deviation of 0.2668, and Risk Adjusted Performance of 0.0184 to validate if the risk estimate we provide is consistent with the expected return of 0.0119%. The etf retains a Market Volatility (i.e., Beta) of 0.0919, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Invesco Fundamental's returns are expected to increase less than the market. However, during the bear market, the loss of holding Invesco Fundamental is expected to be smaller as well.
Auto-correlation | 0.50 |
Modest predictability
Invesco Fundamental High has modest predictability. Overlapping area represents the amount of predictability between Invesco Fundamental time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th of November 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 Fundamental High price movement. The serial correlation of 0.5 indicates that about 50.0% of current Invesco Fundamental price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Invesco Fundamental High lagged returns against current returns
Autocorrelation, which is Invesco Fundamental 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 Fundamental's etf expected returns. We can calculate the autocorrelation of Invesco Fundamental returns to help us make a trade decision. For example, suppose you find that Invesco Fundamental 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 Fundamental 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 Fundamental etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Fundamental etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Invesco Fundamental etf over time.
Current vs Lagged Prices |
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Invesco Fundamental Lagged Returns
When evaluating Invesco Fundamental's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Fundamental etf have on its future price. Invesco Fundamental 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 Fundamental autocorrelation shows the relationship between Invesco Fundamental etf current value and its past values and can show if there is a momentum factor associated with investing in Invesco Fundamental High.
Regressed Prices |
| Timeline |
Pair Trading with Invesco Fundamental
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Invesco Fundamental position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Invesco Fundamental will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Invesco Fundamental could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Invesco Fundamental when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Invesco Fundamental - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Invesco Fundamental High to buy it.
The correlation of Invesco Fundamental is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Invesco Fundamental moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco Fundamental High moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Invesco Fundamental can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Invesco Fundamental Correlation, Invesco Fundamental Volatility and Invesco Fundamental Alpha and Beta module to complement your research on Invesco Fundamental. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Invesco Fundamental technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.