PowerShares Risk Analysis And Volatility Evaluation

SPHQ -- USA Etf  

USD 30.89  0.01  0.0324%

Macroaxis considers PowerShares to be not too volatile. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of -0.2063 which implies PowerShares SP 500 had -0.2063% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. PowerShares SP 500 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PowerShares SP 500 Coefficient Of Variation of 524.91 and Risk Adjusted Performance of 0.21 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

PowerShares Market Sensitivity

As returns on market increase, returns on owning PowerShares are expected to decrease at a much smaller rate. During bear market, PowerShares is likely to outperform the market.
One Month Beta |Analyze PowerShares SP 500 Demand Trend
Check current 30 days PowerShares correlation with market (DOW)
β = -0.142
PowerShares 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.

PowerShares Projected Return Density Against Market

Given the investment horizon of 30 days, PowerShares SP 500 Quality ETF has beta of -0.142 . This entails as returns on benchmark increase, returns on holding PowerShares are expected to decrease at a much smaller rate. During bear market, however, PowerShares SP 500 Quality ETF is likely to outperform the market. Additionally, PowerShares SP 500 Quality ETF has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PowerShares is -484.74. The daily returns are destributed with a variance of 1.35 and standard deviation of 1.16. The mean deviation of PowerShares SP 500 Quality ETF is currently at 0.76. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.27
β
Beta against DOW=0.14
σ
Overall volatility
=1.16
Ir
Information ratio =0.06

PowerShares Return Volatility

PowerShares SP 500 Quality ETF inherits 1.1598% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0404% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

PowerShares Investment Opportunity

PowerShares SP 500 Quality ETF has a volatility of 1.16 and is 1.12 times more volatile than DOW. 10% of all equities and portfolios are less risky than PowerShares. Compared to the overall equity markets, volatility of historical daily returns of PowerShares SP 500 Quality ETF is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use PowerShares SP 500 Quality ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of PowerShares to be traded at $32.43 in 30 days. As returns on market increase, returns on owning PowerShares are expected to decrease at a much smaller rate. During bear market, PowerShares is likely to outperform the market.

PowerShares 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.

PowerShares Volatility Indicators

PowerShares SP 500 Quality ETF Current Risk Indicators

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