Russell 2000 Backtesting

RUT -- USA Index  

 1,645  12.88  0.79%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Russell 2000 'What if' Analysis

September 14, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
December 13, 2019
0.00
If you would invest  0.00  in Russell 2000 on September 14, 2019 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 90 days.

Russell 2000 Upside/Downside Indicators

Downside Deviation1.51
Information Ratio0.0142
Maximum Drawdown6.7
Value At Risk(2.23)
Potential Upside2.07

Russell 2000 Market Premium Indicators

Risk Adjusted Performance0.0417
Total Risk Alpha(0.02946)
Sortino Ratio0.0114

Russell 2000 Backtested Returns

Russell 2000 maintains Sharpe Ratio (i.e. Efficiency) of 0.0534 which implies the entity had 0.0534% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Russell 2000 which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and Russell 2000 are completely uncorrelated. Although it is extremely important to respect Russell 2000 current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Russell 2000 technical indicators you can presently evaluate if the expected return of 0.0658% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.17 
correlation synergy

Very weak predictability

Russell 2000 has very weak predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from September 14, 2019 to October 29, 2019 and October 29, 2019 to December 13, 2019. 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 0.17 indicates that over 17.0% of current Russell 2000 price fluctuation can be explain by its past prices.
Correlation Coefficient0.17
Spearman Rank Test0.08
Residual Average0.0
Price Variance434.59

Russell 2000 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Russell 2000 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Russell 2000 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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