Invesco Balanced Risk Allocation Fund Market Value
| ABRIX Fund | USD 9.30 0.07 0.75% |
| Symbol | Invesco |
Invesco Balanced '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 Balanced's mutual fund 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 Balanced.
| 02/28/2023 |
| 05/23/2024 |
If you would invest 0.00 in Invesco Balanced on February 28, 2023 and sell it all today you would earn a total of 0.00 from holding Invesco Balanced Risk Allocation or generate 0.0% return on investment in Invesco Balanced over 450 days. Invesco Balanced is related to or competes with Pimco All, and All Asset. The funds investment strategy is designed to provide capital loss protection during down markets by investing across mul... More
Invesco Balanced 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 Balanced's mutual fund 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 Balanced Risk Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4638 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 1.77 | |||
| Value At Risk | (0.75) | |||
| Potential Upside | 0.678 |
Invesco Balanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Balanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Balanced's standard deviation. In reality, there are many statistical measures that can use Invesco Balanced historical prices to predict the future Invesco Balanced's volatility.| Risk Adjusted Performance | 0.0946 | |||
| Jensen Alpha | 0.0282 | |||
| Total Risk Alpha | 0.0123 | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.1237 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Balanced's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Invesco Balanced Risk Backtested Returns
We consider Invesco Balanced very steady. Invesco Balanced Risk holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Invesco Balanced Risk, which you can use to evaluate the volatility of the entity. Please check out Invesco Balanced's Market Risk Adjusted Performance of 0.1337, downside deviation of 0.4638, and Risk Adjusted Performance of 0.0946 to validate if the risk estimate we provide is consistent with the expected return of 0.0696%. The fund retains a Market Volatility (i.e., Beta) of 0.51, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Invesco Balanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding Invesco Balanced is expected to be smaller as well.
Auto-correlation | 0.17 |
Very weak predictability
Invesco Balanced Risk Allocation has very weak predictability. Overlapping area represents the amount of predictability between Invesco Balanced time series from 28th of February 2023 to 11th of October 2023 and 11th of October 2023 to 23rd of May 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 Balanced Risk price movement. The serial correlation of 0.17 indicates that over 17.0% of current Invesco Balanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Invesco Balanced Risk lagged returns against current returns
Autocorrelation, which is Invesco Balanced mutual fund'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 Balanced's mutual fund expected returns. We can calculate the autocorrelation of Invesco Balanced returns to help us make a trade decision. For example, suppose you find that Invesco Balanced has exhibited high autocorrelation historically, and you observe that the mutual fund 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 Balanced 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 Balanced mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Balanced mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Invesco Balanced mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Invesco Balanced Lagged Returns
When evaluating Invesco Balanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Balanced mutual fund have on its future price. Invesco Balanced 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 Balanced autocorrelation shows the relationship between Invesco Balanced mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco Balanced Risk Allocation.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Invesco Balanced Correlation, Invesco Balanced Volatility and Invesco Balanced Alpha and Beta module to complement your research on Invesco Balanced. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Invesco Balanced technical mutual fund 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, fund market cycles, or different charting patterns.