PowerShares QQQ Risk Analysis

PowerShares QQQ ETF -- USA Etf  

USD 148.71  0.4  0.27%

We consider PowerShares QQQ not too risky. PowerShares QQQ ETF maintains Sharpe Ratio (i.e. Efficiency) of 0.3177 which implies PowerShares QQQ ETF had 0.3177% 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 QQQ ETF which you can use to evaluate future volatility of the etf. Please check PowerShares QQQ ETF Standard Deviation of 0.4287, Downside Deviation of 0.4689 and Risk Adjusted Performance of 0.0844 to confirm if risk estimate we provide are consistent with the epected return of 0.1367%.
Investment Horizon     30 Days    Login   to change

PowerShares QQQ Market Sensitivity

As returns on market increase, returns on owning PowerShares QQQ are expected to decrease at a much smaller rate. During bear market, PowerShares QQQ is likely to outperform the market.
One Month Beta |Analyze PowerShares QQQ ETF Demand Trend
Check current 30 days PowerShares QQQ correlation with market (DOW)
β = -0.1396
PowerShares QQQ Almost negative betaPowerShares QQQ ETF Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, PowerShares QQQ ETF has beta of -0.1396 . This implies as returns on benchmark increase, returns on holding PowerShares QQQ are expected to decrease at a much smaller rate. During bear market, however, PowerShares QQQ ETF is likely to outperform the market. Moreover, PowerShares QQQ ETF has an alpha of 0.1423 implying that it can potentially generate 0.1423% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of PowerShares QQQ is 314.75. The daily returns are destributed with a variance of 0.19 and standard deviation of 0.43. The mean deviation of PowerShares QQQ ETF is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26
α
Alpha over DOW
= 0.14 
βBeta against DOW=(0.14) 
σ
Overall volatility
= 0.43 
 IrInformation ratio =(0.0405) 

Actual Return Volatility

PowerShares QQQ ETF has volatility of 0.4304% on return distribution over 30 days investment horizon. DOW inherits 0.2475% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares QQQ Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Indifferent to market move

Largest Trends

PowerShares QQQ Largest Period Trend
 144.7 
  
 145.45 
0.75  0.52%
Lowest period price (30 days)
 148.79 
  
 149.04 
0.25  0.17%
Highest period price (30 days)

Investment Outlook

PowerShares QQQ Investment Opportunity
PowerShares QQQ ETF has a volatility of 0.43 and is 1.72 times more volatile than DOW. 4% of all equities and portfolios are less risky than PowerShares QQQ. Compared to the overall equity markets, volatility of historical daily returns of PowerShares QQQ ETF is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use PowerShares QQQ ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of PowerShares QQQ to be traded at $156.15 in 30 days. As returns on market increase, returns on owning PowerShares QQQ are expected to decrease at a much smaller rate. During bear market, PowerShares QQQ is likely to outperform the market.

PowerShares QQQ correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding PowerShares QQQ ETF and equity matching DJI index in the same portfolio.

Volatility Indicators

PowerShares QQQ Current Risk Indicators