Invesco Government Fund Market Value
| AGVRX Fund | USD 6.84 0.02 0.29% |
| Symbol | Invesco |
Invesco Government '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 Government'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 Government.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Invesco Government on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Invesco Government Fund or generate 0.0% return on investment in Invesco Government over 30 days. Invesco Government is related to or competes with Invesco Municipal, Invesco Municipal, Invesco Municipal, Oppenheimer Rising, Invesco High, Oppenheimer Strategic, and Oppenheimer International. The fund invests primarily in fixed-income securities and in derivatives and other instruments that have economic charac... More
Invesco Government 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 Government'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 Government Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2898 | |||
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 1.33 | |||
| Value At Risk | (0.29) | |||
| Potential Upside | 0.2946 |
Invesco Government Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Invesco Government's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Invesco Government's standard deviation. In reality, there are many statistical measures that can use Invesco Government historical prices to predict the future Invesco Government's volatility.| Risk Adjusted Performance | 0.0139 | |||
| Jensen Alpha | (0.0005) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | 0.0333 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Invesco Government'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 Government Backtested Returns
We consider Invesco Government very steady. Invesco Government holds Efficiency (Sharpe) Ratio of 0.0356, which attests that the entity had a 0.0356% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Invesco Government, which you can use to evaluate the volatility of the entity. Please check out Invesco Government's Risk Adjusted Performance of 0.0139, market risk adjusted performance of 0.0433, and Downside Deviation of 0.2898 to validate if the risk estimate we provide is consistent with the expected return of 0.0072%. The fund retains a Market Volatility (i.e., Beta) of 0.0423, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Invesco Government's returns are expected to increase less than the market. However, during the bear market, the loss of holding Invesco Government is expected to be smaller as well.
Auto-correlation | -0.6 |
Good reverse predictability
Invesco Government Fund has good reverse predictability. Overlapping area represents the amount of predictability between Invesco Government time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd 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 Government price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Invesco Government price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Invesco Government lagged returns against current returns
Autocorrelation, which is Invesco Government 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 Government's mutual fund expected returns. We can calculate the autocorrelation of Invesco Government returns to help us make a trade decision. For example, suppose you find that Invesco Government 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 Government 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 Government mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Invesco Government 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 Government mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Invesco Government Lagged Returns
When evaluating Invesco Government's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Invesco Government mutual fund have on its future price. Invesco Government 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 Government autocorrelation shows the relationship between Invesco Government mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Invesco Government Fund.
Regressed Prices |
| Timeline |
Pair Trading with Invesco Government
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 Government 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 Government will appreciate offsetting losses from the drop in the long position's value.Moving together with Invesco Mutual Fund
| 0.78 | AMHYX | Invesco High Yield | PairCorr |
The ability to find closely correlated positions to Invesco Government 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 Government 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 Government - 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 Government Fund to buy it.
The correlation of Invesco Government 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 Government moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Invesco Government 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 Government 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 Government Correlation, Invesco Government Volatility and Invesco Government Alpha and Beta module to complement your research on Invesco Government. You can also try the Funds Screener module to find actively-traded funds from around the world traded on over 30 global exchanges.
Invesco Government 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.