iShares MSCI Backtesting

SCZ -- USA Etf  

USD 63.09  0.22  0.35%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iShares MSCI EAFE Small Cap ETF and determine expected loss or profit from investing in iShares MSCI over given investment horizon. Also please take a look at iShares MSCI Hype Analysis, iShares MSCI Correlation, Portfolio Optimization, iShares MSCI Volatility as well as analyze iShares MSCI Alpha and Beta and iShares MSCI Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

iShares MSCI 'What if' Analysis

August 26, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 25, 2018
0.00
If you would invest  0.00  in iShares MSCI on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding iShares MSCI EAFE Small Cap ETF or generate 0.0% return on investment in iShares MSCI over 30 days. iShares MSCI is related to or competes with WisdomTree, Pacer Trendpilot, ProShares Large, Guggenheim, PowerShares Dynamic, First Trust, and First Trust. The investment seeks to track the investment results of the MSCI EAFE Small Cap Index composed of small-capitalization d...

iShares MSCI Upside/Downside Indicators

Downside Deviation0.6048
Information Ratio0.16
Maximum Drawdown2.55
Value At Risk0.92
Potential Upside1.08
  

iShares MSCI Market Premium Indicators

Risk Adjusted Performance0.0431
Jensen Alpha0.0394
Total Risk Alpha0.15
Sortino Ratio0.17
Treynor Ratio1.33

iShares MSCI EAFE Backtested Returns

Macroaxis considers iShares MSCI to be not too risky. iShares MSCI EAFE shows Sharpe Ratio of -0.0223 which attests that iShares MSCI EAFE had -0.0223% 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 MSCI EAFE 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 MSCI EAFE Market Risk Adjusted Performance of 1.34, Mean Deviation of 0.5134 and Downside Deviation of 0.6048 to validate risk estimate we provide. The entity maintains market beta of 0.0333 which attests that as returns on market increase, iShares MSCI returns are expected to increase less than the market. However during bear market, the loss on holding iShares MSCI will be expected to be smaller as well.. Even though it is essential to pay attention to iShares MSCI EAFE 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 MSCI EAFE exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.97) 

Near perfect reversele predictability

iShares MSCI EAFE Small Cap ETF has near perfect reversele predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 25, 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 MSCI EAFE price movement. The serial correlation of -0.97 indicates that 97.0% of current iShares MSCI price fluctuation can be explain by its past prices. Given that iShares MSCI EAFE Small Cap ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iShares MSCI for similar time interval.
Correlation Coefficient-0.97
Spearman Rank Test-0.96
Residual Average0.0
Price Variance0.53

iShares MSCI EAFE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

iShares MSCI regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

iShares MSCI Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - SCZ

iShares MSCI EAFE Investor Sentiment

Predominant part of Macroaxis users are at this time bullish on iShares MSCI EAFE Small Cap ETF. What is your take regarding investing in iShares MSCI EAFE Small Cap ETF? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Also please take a look at iShares MSCI Hype Analysis, iShares MSCI Correlation, Portfolio Optimization, iShares MSCI Volatility as well as analyze iShares MSCI Alpha and Beta and iShares MSCI Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.
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