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 TrendCheck current 30 days PowerShares SP correlation with market (DOW)|
β = 0.8315
PowerShares SP 500 Technical Analysis
Projected Return Density Against MarketGiven 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).
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