PowerShares SP Risk Analysis And Volatility Evaluation

SPHQ -- USA Etf  

USD 31.04  0.16  0.52%

Macroaxis considers PowerShares SP to be not too risky. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of -0.0235 which implies PowerShares SP 500 had -0.0235% 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-eight 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 1,783 and Risk Adjusted Performance of 0.032601 to confirm risk estimate we provide.
 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 = 0.0383
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 0.0383 . 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. 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 SP is -4260.76. The daily returns are destributed with a variance of 0.48 and standard deviation of 0.69. The mean deviation of PowerShares SP 500 Quality ETF is currently at 0.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.6
α
Alpha over DOW
=0.05
β
Beta against DOW=0.0383
σ
Overall volatility
=0.69
Ir
Information ratio =0.25

Actual Return Volatility

PowerShares SP 500 Quality ETF inherits 0.6898% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6405% 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

Very low

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

PowerShares SP Investment Opportunity
PowerShares SP 500 Quality ETF has a volatility of 0.69 and is 1.08 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 enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of PowerShares SP to be traded at $34.14 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

Significant 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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.