iShares Global Backtesting

iShares Global 100 -- USA Etf  

USD 94.05  0.08  0.0851%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iShares Global 100 and determine expected loss or profit from investing in iShares Global over given investment horizon. Please also check iShares Global Hype Analysis, iShares Global Correlation, Portfolio Optimization, iShares Global Volatility as well as analyze iShares Global Alpha and Beta and iShares Global Performance
 Time Horizon     30 Days    Login   to change

iShares Global 'What if' Analysis

January 20, 2018
No Change 0.00  0.0%
In 30 days
February 19, 2018
If you would invest  0.00  in iShares Global on January 20, 2018 and sell it all today you would earn a total of 0.00 from holding iShares Global 100 or generate 0.0% return on investment in iShares Global over 30 days. iShares Global is related to or competes with iShares MSCI, General Electric, Alcoa, Verizon Communications, Travelers Companies, and Johnson Johnson. The investment seeks to track the investment results of the SP Global 100TM , which is designed to measure the performan...

iShares Global Upside/Downside Indicators


iShares Global Market Premium Indicators

iShares Global 100 lagged returns against current returns

 Current and Lagged Values 

iShares Global regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iShares Global 100 Backtested Returns

Macroaxis considers iShares Global to be not too risky. iShares Global 100 shows Sharpe Ratio of -0.1179 which attests that iShares Global 100 had -0.1179% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. iShares Global 100 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iShares Global 100 Market Risk Adjusted Performance of 0.15 and Mean Deviation of 1.05 to validate risk estimate we provide. The entity maintains market beta of 0.8426 which attests that as returns on market increase, iShares Global returns are expected to increase less than the market. However during bear market, the loss on holding iShares Global will be expected to be smaller as well.. Even though it is essential to pay attention to iShares Global 100 historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. iShares Global 100 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.62) 

Very good reverse predictability

iShares Global 100 has very good reverse predictability. Overlapping area represents the amount of predictability between iShares Global 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 iShares Global 100 price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current iShares Global price fluctuation can be explain by its past prices. Given that iShares Global 100 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iShares Global for similar time interval.
Correlation Coefficient -0.62
Spearman Rank Test -0.25
Price Variance 2.54
Lagged Price Variance 4.37

iShares Global Lagged Returns

 Regressed Prices 

iShares Global Performance vs DOW

The median price of iShares Global for the period between Sat, Jan 20, 2018 and Mon, Feb 19, 2018 is 96.84 with a coefficient of variation of 3.27. The daily time series for the period is distributed with a sample standard deviation of 3.11, arithmetic mean of 94.99, and mean deviation of 2.76. The Etf received some media coverage during the period.
Price Growth (%)  
Volume Ticking Higher in Session For Fa Morningstar US Value...02/14/2018