iShares MSCI Backtesting

iShares MSCI EAFE Small Cap -- USA Etf  

USD 67.34  0.79  1.19%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iShares MSCI EAFE Small Cap 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
 Time Horizon     30 Days    Login   to change

iShares MSCI 'What if' Analysis

December 17, 2017
No Change 0.00  0.0%
In 31 days
January 16, 2018
If you would invest  0.00  in iShares MSCI on December 17, 2017 and sell it all today you would earn a total of 0.00 from holding iShares MSCI EAFE Small Cap or generate 0.0% return on investment in iShares MSCI over 30 days. iShares MSCI is related to or competes with iShares VII, BlackRock Asset, iShares Public, BlackRock Asset, iShares Public, and iShares II. 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


iShares MSCI Market Premium Indicators

iShares MSCI EAFE lagged returns against current returns

 Current and Lagged Values 

iShares MSCI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iShares MSCI EAFE Backtested Returns

Macroaxis considers iShares MSCI not too risky given 1 month investment horizon. iShares MSCI EAFE shows Sharpe Ratio of 0.486 which attests that iShares MSCI EAFE had 0.486% 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 MSCI EAFE which you can use to evaluate future volatility of the etf. Please utilize iShares MSCI EAFE Market Risk Adjusted Performance of 0.313 and Mean Deviation of 0.3734 to validate if our risk estimates are consistent with your expectations. The entity maintains market beta of 0.9008 which attests that iShares MSCI returns are very sensitive to returns on the market. as market goes up or down, iShares MSCI is expected to follow.. Although it is vital to follow to iShares MSCI EAFE historical price patterns, it is good to be conservative about what you can actually do with the information regarding 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 MSCI EAFE technical indicators you can presently evaluate if the expected return of 0.2513% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.64 

Good predictability

iShares MSCI EAFE Small Cap has good predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from December 17, 2017 to January 1, 2018 and January 1, 2018 to January 16, 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 0.64 indicates that roughly 64.0% of current iShares MSCI price fluctuation can be explain by its past prices.
Correlation Coefficient 0.64
Spearman Rank Test 0.87
Price Variance 0.51
Lagged Price Variance 0.22

iShares MSCI Lagged Returns

 Regressed Prices 

iShares MSCI Performance vs DOW

The median price of iShares MSCI for the period between Sun, Dec 17, 2017 and Tue, Jan 16, 2018 is 64.42 with a coefficient of variation of 1.95. The daily time series for the period is distributed with a sample standard deviation of 1.26, arithmetic mean of 64.74, and mean deviation of 1.1. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)