PowerShares Multi-Factor Risk Analysis And Volatility Evaluation

GMFL -- USA Etf  

USD 28.49  0.0046  0.0161%

Macroaxis considers PowerShares Multi-Factor not too risky given 1 month investment horizon. PowerShares Multi-Factor maintains Sharpe Ratio (i.e. Efficiency) of 0.2773 which implies PowerShares Multi-Factor had 0.2773% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf 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 employ PowerShares Multi-Factor Coefficient Of Variation of 395.65 and Risk Adjusted Performance of 0.1202 to confirm if our risk estimates are consistent with your expectations.
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 = -0.5795
PowerShares Multi-Factor Almost negative 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 Large Cap Portfolio has beta of -0.5795 . 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 0.3343 implying that it can potentially generate 0.3343% 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 360.65. The daily returns are destributed with a variance of 0.6 and standard deviation of 0.78. The mean deviation of PowerShares Multi-Factor Large Cap Portfolio is currently at 0.4. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.33
β
Beta against DOW=0.58
σ
Overall volatility
=0.78
Ir
Information ratio =0.07

PowerShares Multi-Factor Return Volatility

PowerShares Multi-Factor Large Cap Portfolio inherits 0.7752% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4487% 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 risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

PowerShares Multi-Factor Investment Opportunity

PowerShares Multi-Factor Large Cap Portfolio has a volatility of 0.78 and is 1.73 times more volatile than DOW. 7% 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 7 (%) 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 and little activity. Check odds of PowerShares Multi-Factor to be traded at $28.21 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

Very 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.

PowerShares Multi-Factor Volatility Indicators

PowerShares Multi-Factor Large Cap Portfolio Current Risk Indicators

Please also check Risk vs Return Analysis. Please also try Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.
Search macroaxis.com