PowerShares Risk Analysis And Volatility

SPHQ -- USA Etf  

USD 29.43  0.44  0.02%

Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf 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 Risk Adjusted Performance of (0.06) and Coefficient Of Variation of (3,042) to confirm if risk estimate we provide are consistent with the epected return of 0.0477%.
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.
2 Months Beta |Analyze PowerShares SP 500 Demand Trend
Check current 30 days PowerShares correlation with market (DOW)
β = -0.0426

PowerShares Central Daily Price Deviation

PowerShares SP 500 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 -0.0426 . 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, The company has a negative alpha implying that the risk taken by holding this equity is not justified. PowerShares SP 500 is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of PowerShares is 4125.3. The daily returns are destributed with a variance of 3.86 and standard deviation of 1.97. The mean deviation of PowerShares SP 500 Quality ETF is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.08
β
Beta against DOW=0.04
σ
Overall volatility
=1.97
Ir
Information ratio =0.0085

PowerShares Return Volatility

the ETF inherits 1.9658% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 1.9958% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

PowerShares Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

PowerShares Investment Opportunity

DOW has a standard deviation of returns of 2.0 and is 1.02 times more volatile than PowerShares SP 500 Quality ETF. 17% 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 17 (%) 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 $30.9 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

correlation synergy
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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