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 TrendCheck current 30 days PowerShares QQQ correlation with market (DOW)|
β = -0.1396
Projected Return Density Against MarketConsidering 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).
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