Russell 2000 Backtesting

RUT -- USA Index  

 1,434  20.99  1.44%

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

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
0.00
If you would invest  0.00  in Russell 2000 on October 14, 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 60 days.

Russell 2000 Upside/Downside Indicators

Information Ratio(0.07)
Maximum Drawdown7.18
Value At Risk(2.86)
Potential Upside2.22
  

Russell 2000 Market Premium Indicators

Risk Adjusted Performance(0.23)
Total Risk Alpha(0.08)

Russell 2000 Backtested Returns

Russell 2000 maintains Sharpe Ratio (i.e. Efficiency) of -0.0809 which implies Russell 2000 had -0.0809% of return per unit of risk over the last 2 months. 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-eight 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.27) 
correlation synergy

Weak reverse predictability

Russell 2000 has weak reverse predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 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 -0.27 indicates that nearly 27.0% 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-0.27
Spearman Rank Test-0.4
Residual Average0.0
Price Variance1022.39

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 

Current Sentiment - RUT

Russell 2000 Investor Sentiment

Most of Macroaxis investors are at this time bullish on Russell 2000 . What is your perspective on investing in USA companies? Are you bullish or bearish on Russell 2000 ?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Money Managers module to screen money managers from public funds and etfs managed around the world.
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