PowerShares SP Risk Analysis And Volatility Evaluation

SPHQ -- USA ETF  

USD 31.16  0.06  0.19%

We consider PowerShares SP not too risky. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of 0.0821 which implies PowerShares SP 500 had 0.0821% 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 PowerShares SP 500 which you can use to evaluate future volatility of the etf. Please check PowerShares SP 500 Coefficient Of Variation of 1049.15, Semi Deviation of 0.7381 and Risk Adjusted Performance of 0.0582 to confirm if risk estimate we provide are consistent with the epected return of 0.055%.
 Time Horizon     30 Days    Login   to change

PowerShares SP Market Sensitivity

As returns on market increase, returns on owning PowerShares SP are expected to decrease at a much smaller rate. During bear market, PowerShares SP is likely to outperform the market.
One Month Beta |Analyze PowerShares SP 500 Demand Trend
Check current 30 days PowerShares SP correlation with market (DOW)
β = -0.0723
PowerShares SP Almost negative 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 500 Quality ETF has beta of -0.0723 . This entails as returns on benchmark increase, returns on holding PowerShares SP are expected to decrease at a much smaller rate. During bear market, however, PowerShares SP 500 Quality ETF is likely to outperform the market. Moreover, PowerShares SP 500 Quality ETF has an alpha of 0.0645 implying that it can potentially generate 0.0645% 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 1217.39. The daily returns are destributed with a variance of 0.45 and standard deviation of 0.67. The mean deviation of PowerShares SP 500 Quality ETF is currently at 0.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.06
β
Beta against DOW=0.07
σ
Overall volatility
=0.67
Ir
Information ratio =0.14

Actual Return Volatility

PowerShares SP 500 Quality ETF inherits 0.6693% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5977% 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

Indifferent to market move

Investment Outlook

PowerShares SP Investment Opportunity
PowerShares SP 500 Quality ETF has a volatility of 0.67 and is 1.12 times more volatile than DOW. 6% 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 6 (%) 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 normal downward trend and little activity. Check odds of PowerShares SP to be traded at $30.85 in 30 days. As returns on market increase, returns on owning PowerShares SP are expected to decrease at a much smaller rate. During bear market, PowerShares SP is likely to outperform the market.

PowerShares SP correlation with market

Good 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.
Also please take a look at World Market Map. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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