iShares Global Backtesting

iShares Global 100 -- USA Etf  

USD 92.27  0.69  0.75%

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
Investment Horizon     30 Days    Login   to change

iShares Global '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 iShares Global on October 25, 2017 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 Vanguard Total, iShares MSCI, iShares Edge, Barclays ETN, and UBS AG. 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

We consider iShares Global not too risky. iShares Global 100 shows Sharpe Ratio of 0.3136 which attests that iShares Global 100 had 0.3136% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a etf 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 iShares Global 100 which you can use to evaluate future volatility of the etf. Please check out iShares Global 100 Market Risk Adjusted Performance of 0.1559, Mean Deviation of 0.3446 and Downside Deviation of 0.465 to validate if risk estimate we provide are consistent with the epected return of 0.1375%. The entity maintains market beta of 0.8741 which attests that iShares Global returns are very sensitive to returns on the market. as market goes up or down, iShares Global is expected to follow.. Although it is extremely important to respect iShares Global 100 historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining iShares Global 100 technical indicators you can presently evaluate if the expected return of 0.1375% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.12 

Insignificant predictability

iShares Global 100 has insignificant predictability. Overlapping area represents the amount of predictability between iShares Global 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 iShares Global 100 price movement. The serial correlation of 0.12 indicates that less than 12.0% of current iShares Global price fluctuation can be explain by its past prices.
Correlation Coefficient 0.12
Spearman Rank Test 0.34
Price Variance 0.22
Lagged Price Variance 0.6

iShares Global Lagged Returns

 Regressed Prices 

iShares Global Performance vs DOW

The median price of iShares Global for the period between Wed, Oct 25, 2017 and Fri, Nov 24, 2017 is 91.22 with a coefficient of variation of 0.72. The daily time series for the period is distributed with a sample standard deviation of 0.66, arithmetic mean of 91.11, and mean deviation of 0.5. The Etf received some media coverage during the period.
Price Growth (%)  
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