Russell 2000 Backtesting

Russell 2000 -- USA Index  

 1,544  6.35  0.41%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Russell 2000 and determine expected loss or profit from investing in Russell 2000 over given investment horizon. See also Russell 2000 Hype Analysis, Russell 2000 Correlation, Portfolio Optimization, Russell 2000 Volatility as well as analyze Russell 2000 Alpha and Beta and Russell 2000 Performance
 Time Horizon     30 Days    Login   to change

Russell 2000 'What if' Analysis

January 20, 2018
No Change 0.00  0.0%
In 31 days
February 19, 2018
If you would invest  0.00  in Russell 2000 on January 20, 2018 and sell it all today you would earn a total of 0.00 from holding Russell 2000 or generate 0.0% return on investment in Russell 2000 over 30 days.

Russell 2000 Upside/Downside Indicators


Russell 2000 Market Premium Indicators

Russell 2000 lagged returns against current returns

 Current and Lagged Values 

Russell 2000 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Russell 2000 Backtested Returns

Russell 2000 maintains Sharpe Ratio (i.e. Efficiency) of -0.134 which implies Russell 2000 had -0.134% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Russell 2000 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The index holds Beta of 0.0 which implies the returns on MARKET and Russell 2000 are completely uncorrelated. Even though it is essential to pay attention to Russell 2000 current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Russell 2000 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 

Almost perfect reverse predictability

Russell 2000 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from January 20, 2018 to February 4, 2018 and February 4, 2018 to February 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Russell 2000 price movement. The serial correlation of -0.74 indicates that around 74.0% of current Russell 2000 price fluctuation can be explain by its past prices. Given that Russell 2000 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Russell 2000 for similar time interval.
Correlation Coefficient -0.74
Spearman Rank Test -0.56
Price Variance 653.12
Lagged Price Variance 1138.31

Russell 2000 Lagged Returns

 Regressed Prices 

Russell 2000 Performance vs DOW

The median price of Russell 2000 for the period between Sat, Jan 20, 2018 and Mon, Feb 19, 2018 is 1574.98 with a coefficient of variation of 3.16. The daily time series for the period is distributed with a sample standard deviation of 48.95, arithmetic mean of 1550.88, and mean deviation of 43.25. The Index did not receive any noticable media coverage during the period.
Price Growth (%)