Invesco Fundamental Risk Adjusted Performance
PHB Etf | USD 18.35 0.06 0.33% |
Invesco |
| = | 0.0215 |
ER[a] | = | Expected return on investing in Invesco Fundamental |
RFR | = | Risk Free Rate of return. Typically T-Bill Rate |
STD[b] | = | Standard Deviation of selected market or benchmark. |
Invesco Fundamental Risk Adjusted Performance Peers Comparison
Invesco Risk Adjusted Performance Relative To Other Indicators
Invesco Fundamental High is regarded third largest ETF in risk adjusted performance as compared to similar ETFs. It is currently under evaluation in maximum drawdown as compared to similar ETFs reporting about 53.56 of Maximum Drawdown per Risk Adjusted Performance. The ratio of Maximum Drawdown to Risk Adjusted Performance for Invesco Fundamental High is roughly 53.56
Risk Adjusted Performance |
Compare Invesco Fundamental to Peers |
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Invesco Fundamental Technical Signals
All Invesco Fundamental Technical Indicators
Cycle Indicators | ||
Math Operators | ||
Math Transform | ||
Momentum Indicators | ||
Overlap Studies | ||
Pattern Recognition | ||
Price Transform | ||
Statistic Functions | ||
Volatility Indicators | ||
Volume Indicators |
Risk Adjusted Performance | 0.0215 | |||
Market Risk Adjusted Performance | 0.043 | |||
Mean Deviation | 0.1665 | |||
Semi Deviation | 0.1813 | |||
Downside Deviation | 0.2437 | |||
Coefficient Of Variation | 1649.89 | |||
Standard Deviation | 0.223 | |||
Variance | 0.0497 | |||
Information Ratio | (0.44) | |||
Jensen Alpha | (0.01) | |||
Total Risk Alpha | (0.03) | |||
Sortino Ratio | (0.40) | |||
Treynor Ratio | 0.033 | |||
Maximum Drawdown | 1.15 | |||
Value At Risk | (0.38) | |||
Potential Upside | 0.3275 | |||
Downside Variance | 0.0594 | |||
Semi Variance | 0.0329 | |||
Expected Short fall | (0.19) | |||
Skewness | (0.05) | |||
Kurtosis | 1.27 |