PowerShares Multi-Factor Risk Analysis And Volatility Evaluation

GMFL -- USA Etf  

USD 26.61  0.29  1.07%

Macroaxis considers PowerShares Multi-Factor to be not too volatile. PowerShares Multi-Factor maintains Sharpe Ratio (i.e. Efficiency) of -0.1222 which implies PowerShares Multi-Factor had -0.1222% 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 857.10 and Risk Adjusted Performance of 0.12 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

PowerShares Multi-Factor Market Sensitivity

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.
One Month Beta |Analyze PowerShares Multi-Factor Demand Trend
Check current 30 days PowerShares Multi-Factor correlation with market (DOW)
β = 0.2702
PowerShares Multi-Factor Small BetaPowerShares Multi-Factor Beta Legend

PowerShares Multi-Factor Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PowerShares Multi-Factor Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

PowerShares Multi-Factor Projected Return Density Against Market

Given the investment horizon of 30 days, PowerShares Multi-Factor has beta of 0.2702 . This indicates as returns on market go up, PowerShares Multi-Factor average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PowerShares Multi-Factor Large Cap Portfolio will be expected to be much smaller as well. Additionally, PowerShares Multi-Factor Large Cap Portfolio has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PowerShares Multi-Factor is -818.39. The daily returns are destributed with a variance of 1.38 and standard deviation of 1.18. The mean deviation of PowerShares Multi-Factor Large Cap Portfolio is currently at 0.62. For similar time horizon, the selected benchmark (DOW) has volatility of 1.07
α
Alpha over DOW
=0.11
β
Beta against DOW=0.27
σ
Overall volatility
=1.18
Ir
Information ratio =0.04

PowerShares Multi-Factor Return Volatility

PowerShares Multi-Factor Large Cap Portfolio inherits 1.1767% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0678% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares Multi-Factor Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

PowerShares Multi-Factor Investment Opportunity

PowerShares Multi-Factor Large Cap Portfolio has a volatility of 1.18 and is 1.1 times more volatile than DOW. 10% 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 10 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of PowerShares Multi-Factor to be traded at $25.81 in 30 days. 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.

PowerShares Multi-Factor correlation with market

Modest 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.

PowerShares Multi-Factor Volatility Indicators

PowerShares Multi-Factor Large Cap Portfolio Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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