PowerShares SP Backtesting

PowerShares SP 500 Quality ETF -- USA Etf  

USD 31.8  0.18  0.56%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PowerShares SP 500 Quality ETF and determine expected loss or profit from investing in PowerShares SP over given investment horizon. Also please take a look at PowerShares SP Hype Analysis, PowerShares SP Correlation, Portfolio Optimization, PowerShares SP Volatility as well as analyze PowerShares SP Alpha and Beta and PowerShares SP Performance
 Time Horizon     30 Days    Login   to change

PowerShares SP 'What if' Analysis

December 22, 2017
No Change 0.00  0.0%
In 31 days
January 21, 2018
If you would invest  0.00  in PowerShares SP on December 22, 2017 and sell it all today you would earn a total of 0.00 from holding PowerShares SP 500 Quality ETF or generate 0.0% return on investment in PowerShares SP over 30 days. PowerShares SP is related to or competes with Vanguard Total, SPDR SP, iShares Core, Vanguard Dividend, iShares Russell, and Vanguard Large. The investment seeks to track the investment results of the SP 500 Quality Index

PowerShares SP Upside/Downside Indicators


PowerShares SP Market Premium Indicators

PowerShares SP 500 lagged returns against current returns

 Current and Lagged Values 

PowerShares SP regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PowerShares SP 500 Backtested Returns

Macroaxis considers PowerShares SP not too risky given 1 month investment horizon. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of 0.644 which implies PowerShares SP 500 had 0.644% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for PowerShares SP 500 which you can use to evaluate future volatility of the etf. Please employ PowerShares SP 500 Standard Deviation of 0.4157, Downside Deviation of 0.2793 and Risk Adjusted Performance of 0.2217 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of 0.8315 which implies as returns on market increase, PowerShares SP returns are expected to increase less than the market. However during bear market, the loss on holding PowerShares SP will be expected to be smaller as well.. Although it is vital to follow to PowerShares SP 500 current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing PowerShares SP 500 technical indicators you can presently evaluate if the expected return of 0.2773% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.77 

Good predictability

PowerShares SP 500 Quality ETF has good predictability. Overlapping area represents the amount of predictability between PowerShares SP time series from December 22, 2017 to January 6, 2018 and January 6, 2018 to January 21, 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 SP 500 price movement. The serial correlation of 0.77 indicates that around 77.0% of current PowerShares SP price fluctuation can be explain by its past prices.
Correlation Coefficient 0.77
Spearman Rank Test 0.9
Price Variance 0.07
Lagged Price Variance 0.06

PowerShares SP Lagged Returns

 Regressed Prices 

PowerShares SP Performance vs DOW

The median price of PowerShares SP for the period between Fri, Dec 22, 2017 and Sun, Jan 21, 2018 is 30.92 with a coefficient of variation of 1.8. The daily time series for the period is distributed with a sample standard deviation of 0.56, arithmetic mean of 31.02, and mean deviation of 0.5. The Etf received some media coverage during the period.
Price Growth (%)  
Notable ETF Outflow Detected - SPHQ, BA, RTN, ITW12/26/2017