PowerShares Multi-Factor Risk Analysis And Volatility Evaluation

GMFL -- USA Etf  

USD 27.98  0.00  0.00%

We consider PowerShares Multi-Factor unknown risk. PowerShares Multi-Factor maintains Sharpe Ratio (i.e. Efficiency) of 0.0726 which implies PowerShares Multi-Factor had 0.0726% 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-one technical indicators for PowerShares Multi-Factor which you can use to evaluate future volatility of the etf. Please check PowerShares Multi-Factor Coefficient Of Variation of 1287.66, Semi Deviation of 0.8831 and Risk Adjusted Performance of 0.043 to confirm if risk estimate we provide are consistent with the epected return of 0.1167%.
 Time Horizon     30 Days    Login   to change

PowerShares Multi-Factor Market Sensitivity

As returns on market increase, returns on owning PowerShares Multi-Factor are expected to decrease at a much smaller rate. During bear market, PowerShares Multi-Factor is likely to outperform the market.
One Month Beta |Analyze PowerShares Multi-Factor Demand Trend
Check current 30 days PowerShares Multi-Factor correlation with market (DOW)
β = -0.3231
PowerShares Multi-Factor Almost negative betaPowerShares Multi-Factor Beta Legend

PowerShares Multi-Factor Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Given the investment horizon of 30 days, PowerShares Multi-Factor Large Cap Portfolio has beta of -0.3231 . This indicates as returns on benchmark increase, returns on holding PowerShares Multi-Factor are expected to decrease at a much smaller rate. During bear market, however, PowerShares Multi-Factor Large Cap Portfolio is likely to outperform the market. Moreover, PowerShares Multi-Factor Large Cap Portfolio has an alpha of 0.1443 implying that it can potentially generate 0.1443% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PowerShares Multi-Factor is 1377.49. The daily returns are destributed with a variance of 2.59 and standard deviation of 1.61. The mean deviation of PowerShares Multi-Factor Large Cap Portfolio is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.14
β
Beta against DOW=0.32
σ
Overall volatility
=1.61
Ir
Information ratio =0.0035

Actual Return Volatility

PowerShares Multi-Factor Large Cap Portfolio inherits 1.608% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5115% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares Multi-Factor Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

PowerShares Multi-Factor Investment Opportunity
PowerShares Multi-Factor Large Cap Portfolio has a volatility of 1.61 and is 3.16 times more volatile than DOW. 14% of all equities and portfolios are less risky than PowerShares Multi-Factor. Compared to the overall equity markets, volatility of historical daily returns of PowerShares Multi-Factor Large Cap Portfolio is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use PowerShares Multi-Factor Large Cap Portfolio to protect against small markets fluctuations. The etf experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of PowerShares Multi-Factor to be traded at $27.7 in 30 days. As returns on market increase, returns on owning PowerShares Multi-Factor are expected to decrease at a much smaller rate. During bear market, PowerShares Multi-Factor is likely to outperform the market.

PowerShares Multi-Factor correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PowerShares Multi-Factor Large and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
vendors/bower_components/jquery.easy-pie-chart/dist/jquery.easypiechart.min.js">