PowerShares Backtesting

SPHQ -- USA Etf  

USD 30.69  0.68  2.17%

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 over given investment horizon. Also please take a look at PowerShares Hype Analysis, PowerShares Correlation, Portfolio Optimization, PowerShares Volatility as well as analyze PowerShares Alpha and Beta and PowerShares Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PowerShares 'What if' Analysis

September 18, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 18, 2018
0.00
If you would invest  0.00  in PowerShares on September 18, 2018 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 over 30 days. PowerShares is related to or competes with Vanguard Mega, SPDR Portfolio, and First Trust. The investment seeks to track the investment results of the SP 500 Quality Index

PowerShares Upside/Downside Indicators

Information Ratio0.09
Maximum Drawdown4.42
Value At Risk1.78
Potential Upside1.98
  

PowerShares Market Premium Indicators

Risk Adjusted Performance0.17
Jensen Alpha0.11
Total Risk Alpha0.09
Treynor Ratio0.22

PowerShares SP 500 Backtested Returns

Macroaxis considers PowerShares to be not too volatile. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of -0.1318 which implies PowerShares SP 500 had -0.1318% 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 SP 500 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PowerShares SP 500 Coefficient Of Variation of 625.54 and Risk Adjusted Performance of 0.17 to confirm risk estimate we provide. The etf holds Beta of 0.9122 which implies PowerShares returns are very sensitive to returns on the market. as market goes up or down, PowerShares is expected to follow.. Even though it is essential to pay attention to PowerShares SP 500 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 SP 500 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.21) 

Weak reverse predictability

PowerShares SP 500 Quality ETF has weak reverse predictability. Overlapping area represents the amount of predictability between PowerShares time series from September 18, 2018 to October 3, 2018 and October 3, 2018 to October 18, 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 -0.21 indicates that over 21.0% of current PowerShares price fluctuation can be explain by its past prices. Given that PowerShares SP 500 Quality ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PowerShares for similar time interval.
Correlation Coefficient-0.21
Spearman Rank Test-0.46
Residual Average0.0
Price Variance0.57

PowerShares SP 500 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PowerShares regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PowerShares Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at PowerShares Hype Analysis, PowerShares Correlation, Portfolio Optimization, PowerShares Volatility as well as analyze PowerShares Alpha and Beta and PowerShares Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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