Russell 2000 Backtesting

Russell 2000 -- USA Index  

 1,517  2.13  0.14%

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
Investment Horizon     30 Days    Login   to change

Russell 2000 'What if' Analysis

October 25, 2017
No Change 0.00  0.0%
In 31 days
November 24, 2017
If you would invest  0.00  in Russell 2000 on October 25, 2017 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 is entity of United States. It is traded as Index on Index exchange.

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 0.1091 which implies Russell 2000 had 0.1091% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a index is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one 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 0.0724% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.59) 

Good reverse predictability

Russell 2000 has good reverse predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from October 25, 2017 to November 9, 2017 and November 9, 2017 to November 24, 2017. 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 -0.59 indicates that roughly 59.0% 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 -0.59
Spearman Rank Test 0.06
Price Variance 377.03
Lagged Price Variance 63.34

Russell 2000 Lagged Returns

 Regressed Prices 

Russell 2000 Performance vs DOW

The median price of Russell 2000 for the period between Wed, Oct 25, 2017 and Fri, Nov 24, 2017 is 1493.48 with a coefficient of variation of 0.97. The daily time series for the period is distributed with a sample standard deviation of 14.43, arithmetic mean of 1491.62, and mean deviation of 11.39. The Index did not receive any noticable media coverage during the period.
Price Growth (%)