PowerShares Multi-Factor Backtesting

GMFL -- USA Etf  

USD 25.47  0.001  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PowerShares Multi-Factor Large Cap Portfolio and determine expected loss or profit from investing in PowerShares Multi-Factor over given investment horizon. Please also check PowerShares Multi-Factor Hype Analysis, PowerShares Multi-Factor Correlation, Portfolio Optimization, PowerShares Multi-Factor Volatility as well as analyze PowerShares Multi-Factor Alpha and Beta and PowerShares Multi-Factor Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PowerShares Multi-Factor 'What if' Analysis

November 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
January 20, 2019
0.00
If you would invest  0.00  in PowerShares Multi-Factor on November 21, 2018 and sell it all today you would earn a total of 0.00 from holding PowerShares Multi-Factor Large Cap Portfolio or generate 0.0% return on investment in PowerShares Multi-Factor over 60 days. PowerShares Multi-Factor is related to or competes with Vanguard Value, iShares Russell, Vanguard High, SPDR SP, iShares SP, iShares Core, and PowerShares FTSE. The investment seeks to track the investment results of the Invesco Multi-Factor Large Cap Index

PowerShares Multi-Factor Upside/Downside Indicators

Information Ratio0.0133
Maximum Drawdown4.7
Value At Risk(2.04)
Potential Upside1.92
  

PowerShares Multi-Factor Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.034184)
Total Risk Alpha(0.008588)
Treynor Ratio(0.30)

PowerShares Multi-Factor Backtested Returns

Macroaxis considers PowerShares Multi-Factor to be not too volatile. PowerShares Multi-Factor maintains Sharpe Ratio (i.e. Efficiency) of -0.0278 which implies the entity had -0.0278% of return per unit of risk over the last 2 months. 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 Risk Adjusted Performance of (0.06) and Coefficient Of Variation of (3,547) to confirm risk estimate we provide. The etf holds Beta of 0.138 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.73) 
correlation synergy

Almost perfect reverse predictability

PowerShares Multi-Factor Large Cap Portfolio has almost perfect reverse predictability. Overlapping area represents the amount of predictability between PowerShares Multi-Factor time series from November 21, 2018 to December 21, 2018 and December 21, 2018 to January 20, 2019. 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 -0.73 indicates that around 73.0% 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.
Correlation Coefficient-0.73
Spearman Rank Test-0.52
Residual Average0.0
Price Variance0.65

PowerShares Multi-Factor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PowerShares Multi-Factor regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PowerShares Multi-Factor Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GMFL

PowerShares Multi-Factor Investor Sentiment

Most of Macroaxis users are currently bullish on PowerShares Multi-Factor Large Cap Portfolio. What is your perspective on investing in PowerShares Multi-Factor Large Cap Portfolio? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Please also check PowerShares Multi-Factor Hype Analysis, PowerShares Multi-Factor Correlation, Portfolio Optimization, PowerShares Multi-Factor Volatility as well as analyze PowerShares Multi-Factor Alpha and Beta and PowerShares Multi-Factor Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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