Invesco High Yield Fund Volatility
| AMHYX Fund | USD 3.54 -0.01 -0.28% |
Sharpe Ratio = 0.0318
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Invesco High Yield posted a Market Risk Adjusted Performance of 0.02%, a Risk of 0.30, and a Risk Adjusted Performance of 0.01% for the reported period. Based on monthly moving averages, the fund is operating near 2% of its historical performance range.
Key indicators related to INVESCO HIGH's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for INVESCO HIGH (3 Months):
Beta -0.03 | Alpha -0.000091 | Risk 0.3 | Sharpe Ratio 0.03 | Expected Return 0.01 |
Moving together with INVESCO HIGH Mutual Fund
| 0.89 | AHTFX | American High Income | PairCorr |
| 0.97 | AHTCX | American High Income | PairCorr |
| 0.98 | AHITX | American High Income | PairCorr |
| 0.95 | VWEHX | Vanguard High Yield | PairCorr |
| 0.97 | BHYCX | BlackRock Hi Yld | PairCorr |
| 0.9 | BHYIX | BlackRock High Yield | PairCorr |
| 0.91 | BHYSX | BlackRock Hi Yld | PairCorr |
| 0.98 | BHYAX | BlackRock High Yield | PairCorr |
| 0.88 | VWEAX | Vanguard High Yield | PairCorr |
| 0.89 | PHYZX | Prudential High Yield | PairCorr |
| 0.85 | SPGSX | State Street Premier | PairCorr |
| 0.61 | KF | Korea Closed | PairCorr |
| 0.75 | BA | Boeing | PairCorr |
| 0.74 | MSFT | Microsoft | PairCorr |
| 0.76 | JPM | JPMorgan Chase | PairCorr |
Moving Against INVESCO HIGH Mutual Fund
| 0.79 | XOM | Exxon Mobil Corp | PairCorr |
| 0.78 | CVX | Chevron Corp | PairCorr |
| 0.45 | JNJ | Johnson Johnson Sell-off Trend | PairCorr |
| 0.35 | PFE | Pfizer Inc | PairCorr |
Sensitivity To Market
INVESCO HIGH beta coefficient measures the volatility of INVESCO HIGH mutual fund relative to the systematic risk of the broad market benchmark. A beta of -0.0328 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 0.3%. Invesco High Yield has shown noticeable price swings over the selected period. Downside deviation is about 0.34% and standard deviation is about 0.3%, which summarize how widely returns have moved. Fund volatility is generally driven by asset allocation rather than individual headline events. Portfolio turnover and allocation changes alter measured dispersion over time.
3 Months Beta |Invesco High Yield Demand TrendCurrent 90-day INVESCO HIGH correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far INVESCO HIGH returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 0.3 |
It is essential to understand the difference between upside risk and downside risk for INVESCO HIGH. Total volatility includes favorable moves, while downside deviation isolates the loss risk in INVESCO HIGH's daily returns. Invesco High Yield posted a Downside Deviation of 0.34, a Downside Variance of 0.11, and a Maximum Drawdown of 1.44 for the reported period.
Mutual Fund Volatility Analysis
Volatility refers to the frequency at which INVESCO HIGH fund price increases or decreases within a specified period. It is generally measured from either the standard deviation or variance between returns from that same mutual fund.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Invesco High Yield's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Based on a 90-day horizon, Invesco High Yield has a beta of -0.0328. This suggests that as returns on the benchmark increase, returns on INVESCO HIGH tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Invesco High Yield tends to outperform the market.INVESCO HIGH is exposed to both systematic and unsystematic risk. Systematic risk reflects broader mutual fund market movements, while company or sector-specific developments represent nonmarket drivers. Diversification may reduce specific risk, but market exposure remains. Beta and standard deviation help quantify volatility. Invesco High Yield posted a Downside Deviation of 0.34, a Mean Deviation of 0.20, and a Semi Deviation of 0.18 for the reported period.
Predicted Return Distribution |
| Density |
What Drives INVESCO HIGH's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Invesco sector can move INVESCO HIGH's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for INVESCO HIGH.INVESCO HIGH's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in INVESCO HIGH's shares.Mutual Fund Risk Measures
Based on a 90-day horizon, the coefficient of variation of INVESCO HIGH is 3148.63. The daily returns are distributed with a variance of 0.09 and standard deviation of 0.3. The mean deviation of Invesco High Yield is currently at 0.2. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | -0.0001 | |
β | Beta against Dow Jones | -0.0328 | |
σ | Overall volatility | 0.30 | |
Ir | Information ratio | -0.0342 |
Mutual Fund Return Volatility
INVESCO HIGH historical daily return volatility represents how much of INVESCO HIGH fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund reported 0.3018% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9716% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in INVESCO HIGH Mutual Fund do not always mean INVESCO HIGH Mutual Fund is outperforming peers on business quality. Risk-adjusted metrics help compare INVESCO HIGH's efficiency and downside exposure against peers on a like-for-like basis. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| AMHYX | 0.20 | 0.00 | -0.03 | 0.01 | 0.18 | 0.56 | 1.44 | |||
| HYIFX | 0.22 | 0.01 | 0.00 | -0.51 | 0.17 | 0.57 | 1.45 | |||
| HYINX | 0.19 | 0.00 | -0.03 | 0.03 | 0.19 | 0.29 | 1.44 | |||
| AHHYX | 0.18 | 0.00 | -0.03 | 0.09 | 0.19 | 0.29 | 1.44 | |||
| AHYCX | 0.17 | -0.01 | -0.04 | -1.36 | 0.20 | 0.29 | 1.44 | |||
| AHYBX | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| ACTNX | 0.17 | 0.01 | 0.00 | 1.05 | 0.16 | 0.61 | 1.46 | |||
| ACTHX | 0.16 | 0.00 | -0.04 | -0.09 | 0.19 | 0.37 | 1.33 | |||
| ACTDX | 0.16 | 0.00 | -0.03 | 0.02 | 0.18 | 0.36 | 1.45 |
Risk Metrics, Assumptions & Methodology
Volatility regime for INVESCO HIGH evaluates whether NAV variability is in a calm, stressed, or transitional phase. Regime transitions often precede directional moves, making volatility shifts a useful timing signal.
Invesco High Yield values are built from fund disclosures and market reference feeds, with reporting definitions aligned before display. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Gabriel Shpitalnik, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Invesco High Yield is less volatile than Dow Jones Industrial by approximately 3.23x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Invesco High Yield exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This move summary looks at how the current session may translate into a basic near-term setup. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View INVESCO HIGH probability analysis.
Very poor diversification
The correlation between INVESCO HIGH and Dow Jones is 0.81, which Macroaxis classifies as Very poor diversification for the selected horizon. Lower overlap tends to improve diversification, while higher overlap means both positions carry similar risk.
Additional Risk Indicators
Secondary risk indicators for Invesco High Yield evaluate exposure beyond standard deviation, beta, or one headline volatility measure. This is most informative when assessing whether the current opportunity is being compensated with reasonable risk.
| Risk Adjusted Performance | 0.0087 | |||
| Market Risk Adjusted Performance | 0.0227 | |||
| Mean Deviation | 0.1981 | |||
| Semi Deviation | 0.1803 | |||
| Downside Deviation | 0.3383 | |||
| Coefficient Of Variation | 3148.63 | |||
| Standard Deviation | 0.3018 |
INVESCO HIGH Suggested Diversification Pairs
A pair-trading setup around INVESCO HIGH shifts the return benchmark from the broad market to a second position, altering the risk profile. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.
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 HIGH 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 HIGH'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 HIGH'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 High Yield.