Macroaxis considers PowerShares Multi-Factor to be not too volatile. PowerShares Multi-Factor
maintains Sharpe Ratio (i.e. Efficiency) of -0.1733 which implies PowerShares Multi-Factor
had -0.1733% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. PowerShares Multi-Factor exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PowerShares Multi-Factor Coefficient Of Variation
of 604.60 and Risk Adjusted Performance of 0.17 to confirm risk estimate we provide. The etf holds Beta of 0.2842 which implies as returns on market increase, PowerShares Multi-Factor returns are expected to increase less than the market. However during bear market, the loss on holding PowerShares Multi-Factor will be expected to be smaller as well.. Even though it is essential to pay attention to PowerShares Multi-Factor current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. PowerShares Multi-Factor exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.30) |
Weak reverse predictability
PowerShares Multi-Factor Large Cap Portfolio has weak reverse predictability. Overlapping area represents the amount of predictability between PowerShares Multi-Factor time series from September 15, 2018 to September 30, 2018 and September 30, 2018 to October 15, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PowerShares Multi-Factor price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current PowerShares Multi-Factor price fluctuation can be explain by its past prices. Given that PowerShares Multi-Factor Large Cap Portfolio has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PowerShares Multi-Factor for similar time interval.
|Spearman Rank Test||-0.41|