Invesco FTSE RAFI ETF Volatility

PRFZ ETF

USD 51.54 -0.08 -0.15%

Invesco FTSE's volatility, beta, and downside-risk metrics are presented in one read. It carries a 1.29 long-term beta, meaning it tends to be slightly more volatile than the broader market. The ETF shows low price volatility over the last 3 months.

Sharpe Ratio = 0.0838

Expected Return ↓

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Elevated

High

Leading

Strong

Moderate

Modest

Flat

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Ideal

PRFZ

Worst

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Invesco FTSE RAFI (PRFZ) recorded a Market Risk Adjusted Performance of 0.1%, a Risk of 1.20, and a Risk Adjusted Performance of 0.1%. Moving average data positions the ETF near 6% of its recent return envelope.

Key indicators related to Invesco FTSE's volatility include:

90 Days Market Risk

Very Low

Chance Of Distress

Low

90 Days Economic Sensitivity

Almost mirrors the market

Key risk metrics for Invesco FTSE (3 Months):

Beta

1.15

Alpha

0.13

Risk

1.2

Sharpe Ratio

0.08

Expected Return

0.1

Moving together with Invesco FTSE ETF

0.99	VB	Vanguard Small Cap	Pair Corr
0.99	IJR	iShares Core SAMPP	Pair Corr
0.99	IWM	iShares Russell 2000	Pair Corr
0.99	VRTIX	Vanguard Russell 2000	Pair Corr
0.99	VTWO	Vanguard Russell 2000	Pair Corr
0.9	FNDA	Schwab Fundamental Small	Pair Corr
0.99	SPSM	SPDR Portfolio SAMPP	Pair Corr
0.98	DFAS	Dimensional Small Cap	Pair Corr
0.99	VIOO	Vanguard SAMPP Small	Pair Corr
0.84	NVDL	GraniteShares 15x Long Potential Growth	Pair Corr
0.88	USD	ProShares Ultra	Pair Corr
0.82	BULZ	MicroSectors Solactive	Pair Corr
0.81	KORU	Direxion Daily South Trending	Pair Corr
0.82	GGLL	Direxion Daily GOOGL	Pair Corr
0.88	WGMI	Valkyrie Bitcoin Miners	Pair Corr
0.89	TECL	Direxion Daily Technology	Pair Corr
0.82	FNGG	Direxion Daily Select	Pair Corr
0.81	FNGO	MicroSectors FANG Index	Pair Corr
0.96	HAIL	SPDR SAMPP Kensho	Pair Corr
0.99	EDGU	3EDGE Dynamic Equity	Pair Corr
0.84	PLGI	PL Growth	Pair Corr
0.88	DRGN	Themes China Generative	Pair Corr
0.85	LDUR	PIMCO Enhanced Low	Pair Corr
0.89	VTV	Vanguard Value Index	Pair Corr
0.83	NUDV	Nushares ETF Trust	Pair Corr
0.88	ICPY	Tweedy Browne	Pair Corr

Sensitivity To Market

The beta coefficient of 1.15 for Invesco FTSE RAFI measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 1.2%. This analysis separates observed movement from interpretation for Invesco FTSE RAFI. Standard deviation (1.26%) and downside deviation (1.34%) describe the range without implying direction. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.

Current 90-day Invesco FTSE correlation with market (Dow Jones Industrial)

0.13

1.15

Competition

3 Months Beta |Invesco FTSE RAFI Demand Trend

Current 90-day Invesco FTSE correlation with market (Dow Jones Industrial)

Downside Risk

Invesco FTSE standard deviation over the selected horizon reflects the magnitude of daily price swings relative to the historical average. A rising standard deviation for Invesco FTSE over successive periods signals increasing price uncertainty.

Standard Deviation

1.2

Understanding the asymmetry between upside and downside risk is critical for Invesco FTSE analysis. Total price dispersion includes upside, while downside deviation captures only loss risk in Invesco FTSE's returns. Invesco FTSE RAFI (PRFZ) recorded a Downside Deviation of 1.34, a Downside Variance of 1.79, and a Maximum Drawdown of 5.71.

ETF Volatility Analysis

Volatility is a statistical measure of the dispersion of Invesco FTSE ETF returns over a given period of time. Volatility measures how much Invesco FTSE's ETF price deviates from its average over a period.

Transformation

This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Invesco FTSE RAFI'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

Given a 90-day horizon, Invesco FTSE has a beta of 1.1475 indicating Invesco FTSE RAFI market returns are sensitive to returns on the market. As the market goes up or down, Invesco FTSE tends to follow.

Invesco FTSE carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Invesco FTSE RAFI (PRFZ) recorded a Downside Deviation of 1.34, a Mean Deviation of 0.98, and a Semi Deviation of 1.19.

Invesco FTSE RAFI has an alpha of 0.1303, implying that it can generate a 0.1303 percent excess return over Dow Jones Industrial after adjusting for the inherent market risk (beta).

Predicted Return Distribution

Density

Invesco FTSE's volatility is typically evaluated with standard deviation and beta. Standard deviation reflects how far Invesco FTSE's returns usually move from the mean over the selected horizon.

What Drives Invesco FTSE's Price Volatility?

Holdings and Allocation

Exposure changes, asset reallocation, or index methodology updates in the Small Blend category can alter Invesco FTSE's day-to-day volatility profile.

Political and Economic Environment

Broad market tone, policy uncertainty, and recession or expansion signals shape volatility conditions for Invesco FTSE.

Invesco FTSE's Fund-Specific Factors

Unexpected fund flow surges, tracking deviation, or liquidity changes can drive outsized moves in Invesco FTSE's price.

ETF Risk Measures

Given a 90-day horizon, the coefficient of variation of Invesco FTSE is 1193.48. The daily returns are distributed with a variance of 1.45 and standard deviation of 1.2. The mean deviation of Invesco FTSE RAFI is currently at 0.95. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96

α	Alpha over Dow Jones	0.13	Details
β	Beta against Dow Jones	1.15	Details
σ	Overall volatility	1.20	Details
Ir	Information ratio	0.10	Details

ETF Return Volatility

Volatility for Invesco FTSE quantifies the day-to-day dispersion of ETF returns around their historical average. The ETF carries 1.2023% return volatility across the 90-day horizon. As a benchmark, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon.

Performance

Timeline

Related Correlations Analysis

	SPGP	SMLF	FESM	CQQQ	FELV	AOA	INTF	MDYG	MDYV	QLTY
SPGP		0.91	0.85	0.74	0.88	0.95	0.87	0.88	0.95	0.96	SPGP
SMLF	0.91		0.98	0.51	0.9	0.95	0.82	0.98	0.88	0.95	SMLF
FESM	0.85	0.98		0.45	0.9	0.92	0.72	0.95	0.82	0.92	FESM
CQQQ	0.74	0.51	0.45		0.61	0.7	0.71	0.5	0.74	0.67	CQQQ
FELV	0.88	0.9	0.9	0.61		0.92	0.77	0.87	0.87	0.93	FELV
AOA	0.95	0.95	0.92	0.7	0.92		0.9	0.95	0.92	0.98	AOA
INTF	0.87	0.82	0.72	0.71	0.77	0.9		0.82	0.91	0.84	INTF
MDYG	0.88	0.98	0.95	0.5	0.87	0.95	0.82		0.84	0.92	MDYG
MDYV	0.95	0.88	0.82	0.74	0.87	0.92	0.91	0.84		0.91	MDYV
QLTY	0.96	0.95	0.92	0.67	0.93	0.98	0.84	0.92	0.91		QLTY
	SPGP	SMLF	FESM	CQQQ	FELV	AOA	INTF	MDYG	MDYV	QLTY

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Invesco FTSE Constituents Risk-Adjusted Indicators

Headline performance for Invesco FTSE ETF may not fully reflect how the business compares across its competitive set. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. 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
SPGP	0.86	0.02	0.02	0.03	1.05	-0.91	1.97	-2.02	5.26
SMLF	0.96	0.14	0.10	0.13	1.16	-0.95	2.16	-1.91	5.35
FESM	1.05	0.22	0.16	0.20	1.18	-1.11	2.19	-1.96	6.18
CQQQ	1.43	0.04	0.02	0.04	1.75	-1.61	3.29	-2.66	8.60
FELV	0.58	0.08	0.10	0.12	0.61	-0.61	1.62	-1.23	3.04
AOA	0.71	0.09	0.10	0.11	0.74	-0.78	1.60	-1.46	3.75
INTF	0.97	0.07	0.06	0.08	1.17	-1.01	2.35	-1.93	5.47
MDYG	1.06	0.17	0.13	0.15	1.16	-1.17	2.69	-2.24	6.38
MDYV	0.77	0.03	0.03	0.04	0.94	-0.80	1.82	-1.55	4.75
QLTY	0.71	0.05	0.06	0.07	0.76	-0.81	1.43	-1.45	3.48

Risk Metrics, Assumptions & Methodology

Systematic risk exposure for Invesco FTSE measures how much of the fund's volatility comes from broad market movements versus idiosyncratic factors. A beta above one indicates amplified sensitivity to market swings, increasing both upside and downside exposure.

Invesco FTSE RAFI data is compiled from fund disclosures and market reference feeds and standardized for comparability. Volatility and downside metrics are estimated from historical return dispersion.

Editorial review and methodology oversight provided by: Rifka Kats, Member of Macroaxis Editorial Board

Volatility Profile Summary

Recent data suggests that Invesco FTSE RAFI is more volatile than Dow Jones Industrial by approximately 1.29x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the 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 10% 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 FTSE RAFI exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It works best as a directional cue rather than as a standalone forecast. 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 FTSE probability analysis.

Very poor diversification

For the present investment horizon, the measured correlation between Invesco FTSE and Dow Jones stands at 0.86, or Very poor diversification. This chart measures the degree of risk overlap between Invesco FTSE and Dow Jones.

View Details

Additional Risk Indicators

A broader risk-indicator set for Invesco FTSE RAFI extends the analysis beyond standard volatility and risk measures. These measures support both standalone risk assessment and portfolio-level analysis.

	Risk Adjusted Performance	0.1185
	Market Risk Adjusted Performance	0.1334
	Mean Deviation	0.9751
	Semi Deviation	1.19
	Downside Deviation	1.34
	Coefficient Of Variation	830.28
	Standard Deviation	1.26

Invesco FTSE Suggested Diversification Pairs

A paired position built around Invesco FTSE RAFI reduces directional market exposure while expressing a relative-value view. A disciplined pair structure still requires monitoring because correlation weakens when market regimes change.

Risk reduction through pair trading is real but has limits - not every type of exposure can be offset by a second leg. Invesco FTSE's exposure to overall market risk stays intact regardless of pairing. The value of a second leg lies in reducing Invesco FTSE's idiosyncratic risk - the part that comes from company-level events rather than macro conditions.

More Resources for Invesco FTSE ETF Analysis

Investors evaluate Invesco FTSE RAFI using market price and NAV, each describing a different view of the fund. ETF assessment draws on expense ratio, liquidity, bid-ask spread, and how effectively the fund replicates its target exposure.

The distinction between Invesco FTSE's trading price and NAV is an important analytical consideration. In practice, Invesco FTSE price is set by the continuous auction process on its listing exchange.

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