Macroaxis considers PowerShares SP not too risky given 1 month investment horizon. PowerShares SP 500 maintains Sharpe Ratio (i.e. Efficiency) of 0.6088 which implies PowerShares SP 500 had 0.6088% 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 0.2245 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, 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 TrendCheck current 30 days PowerShares SP correlation with market (DOW)|
β = -0.2598
PowerShares SP 500 Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, PowerShares SP 500 Quality ETF has beta of -0.2598 . 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 0.2604 implying that it can potentially generate 0.2604% 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 164.25. The daily returns are destributed with a variance of 0.18 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 0.45