Questrade Russell Risk Analysis

Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD -- Canada ETF  

CAD 28.13  0.1  0.35%

We consider Questrade Russell not too risky. Questrade Russell 1000 maintains Sharpe Ratio (i.e. Efficiency) of 0.3691 which implies Questrade Russell 1000 had 0.3691% 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 Questrade Russell 1000 which you can use to evaluate future volatility of the etf. Please check Questrade Russell 1000 Coefficient Of Variation of 227.04 and Risk Adjusted Performance of 0.1051 to confirm if risk estimate we provide are consistent with the epected return of 0.1386%.
Investment Horizon     30 Days    Login   to change

Questrade Russell Market Sensitivity

As returns on market increase, Questrade Russell returns are expected to increase less than the market. However during bear market, the loss on holding Questrade Russell will be expected to be smaller as well.
One Month Beta |Analyze Questrade Russell 1000 Demand Trend
Check current 30 days Questrade Russell correlation with market (DOW)
β = 0.6604
Questrade Russell Small BetaQuestrade Russell 1000 Beta Legend

Projected Return Density Against Market

Assuming 30 trading days horizon, Questrade Russell has beta of 0.6604 . This implies as returns on market go up, Questrade Russell average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD will be expected to be much smaller as well. Moreover, Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD has an alpha of 0.0871 implying that it can potentially generate 0.0871% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Questrade Russell is 270.89. The daily returns are destributed with a variance of 0.14 and standard deviation of 0.38. The mean deviation of Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD is currently at 0.3. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.0871 
βBeta against DOW= 0.66 
σ
Overall volatility
= 0.38 
 IrInformation ratio = 0.11 

Actual Return Volatility

Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD assumes 0.3754% volatility of returns over the 30 days investment horizon. DOW inherits 0.2252% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Questrade Russell Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Follows market closely

Largest Trends

Questrade Russell Largest Period Trend
 27.01 
  
 27.02 
0.01  0.037023%
Lowest period price (30 days)
 28.23 
  
 28.23 
0.00  0.00%
Highest period price (30 days)

Investment Outlook

Questrade Russell Investment Opportunity
Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD has a volatility of 0.38 and is 1.65 times more volatile than DOW. 3% of all equities and portfolios are less risky than Questrade Russell. Compared to the overall equity markets, volatility of historical daily returns of Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use Questrade Russell 1000 Equal Weight US Technology Index ETF Hedged to CAD to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of Questrade Russell to be traded at C$27.85 in 30 days. As returns on market increase, Questrade Russell returns are expected to increase less than the market. However during bear market, the loss on holding Questrade Russell will be expected to be smaller as well.

Questrade Russell correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Questrade Russell 1000 Equal W and equity matching DJI index in the same portfolio.

Volatility Indicators

Questrade Russell Current Risk Indicators