PowerShares SP Risk Analysis

PowerShares SP 500 Quality ETF -- USA Etf  

USD 31.8  0.18  0.56%

Macroaxis considers PowerShares SP not too risky given 1 month investment horizon. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of 0.644 which implies PowerShares SP 500 had 0.644% 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 SP 500 which you can use to evaluate future volatility of the etf. Please employ PowerShares SP 500 Standard Deviation of 0.4157, Downside Deviation of 0.2793 and Risk Adjusted Performance of 0.2217 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

PowerShares SP Market Sensitivity

As returns on market increase, PowerShares SP returns are expected to increase less than the market. However during bear market, the loss on holding PowerShares SP will be expected to be smaller as well.
One Month Beta |Analyze PowerShares SP 500 Demand Trend
Check current 30 days PowerShares SP correlation with market (DOW)
β = 0.8315
PowerShares SP Small BetaPowerShares SP 500 Beta Legend

PowerShares SP 500 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. PowerShares SP 500 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, PowerShares SP has beta of 0.8315 . This entails as returns on market go up, PowerShares SP average returns are expected to increase less than the benchmark. However during bear market, the loss on holding PowerShares SP 500 Quality ETF will be expected to be much smaller as well. Moreover, PowerShares SP 500 Quality ETF has an alpha of 0.0161 implying that it can potentially generate 0.0161% 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 SP is 155.29. The daily returns are destributed with a variance of 0.19 and standard deviation of 0.43. The mean deviation of PowerShares SP 500 Quality ETF is currently at 0.35. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.0161
β
Beta against DOW=0.83
σ
Overall volatility
=0.43
Ir
Information ratio =0.05

Actual Return Volatility

PowerShares SP 500 Quality ETF inherits 0.4306% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4559% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares SP 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

PowerShares SP Largest Period Trend

Investment Outlook

PowerShares SP Investment Opportunity
DOW has a standard deviation of returns of 0.46 and is 1.07 times more volatile than PowerShares SP 500 Quality ETF. 3% of all equities and portfolios are less risky than PowerShares SP. Compared to the overall equity markets, volatility of historical daily returns of PowerShares SP 500 Quality ETF is lower than 3 (%) of all global equities and portfolios over the last 30 days. Use PowerShares SP 500 Quality ETF to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of PowerShares SP to be traded at $31.16 in 30 days. As returns on market increase, PowerShares SP returns are expected to increase less than the market. However during bear market, the loss on holding PowerShares SP will be expected to be smaller as well.

PowerShares SP correlation with market

Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding PowerShares SP 500 Quality ETF and equity matching DJI index in the same portfolio.

Volatility Indicators

PowerShares SP Current Risk Indicators