iShares MSCI Alpha and Beta Analysis

iShares MSCI EAFE Small Cap -- USA Etf  

USD 67.61  0.17  0.25%

This module allows you to check different measures of market premium for iShares MSCI EAFE Small Cap as well as systematic risk associated with investing in iShares MSCI over a specified time horizon. Also please take a look at iShares MSCI Backtesting, Portfolio Optimization, iShares MSCI Correlation, iShares MSCI Hype Analysis, iShares MSCI Volatility, iShares MSCI History and analyze iShares MSCI Performance
 Time Horizon     30 Days    Login   to change
Run Premiums

iShares MSCI Market Premiums

α (average alpha)=0.18    β (beta)=0.6    
30 days against DJI
Risk Adjusted Performance  0.2153Jensen Alpha  0.0707Total Risk Alpha  (0.016864)Sortino Ratio  0.0Treynor Ratio  0.3136

iShares MSCI expected buy-and-hold returns


iShares MSCI Market Price Analysis

Price Series Summation
Price Series Division
Inverse Tangent Over Price Movement
Price Ceiling Movement
Aroon Oscillator
Balance Of Power
Bollinger Bands
Double Exponential Moving Average
Belt hold
Hanging Man

iShares MSCI Return and Market Media

The median price of iShares MSCI for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 65.84 with a coefficient of variation of 2.26. The daily time series for the period is distributed with a sample standard deviation of 1.48, arithmetic mean of 65.47, and mean deviation of 1.3. The Etf received some media coverage during the period.
Price Growth (%)  
iShares Currency Hedged MSCI EAFE Small-Cap ETF Holdings Boo...01/17/2018