iShares MSCI Backtesting

SCZ -- USA Etf  

USD 65.04  1.38  2.17%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

iShares MSCI 'What if' Analysis

May 22, 2018
0.00
No Change 0.00  0.0%
In 30 days
June 21, 2018
0.00
If you would invest  0.00  in iShares MSCI on May 22, 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 PowerShares SP, USAA Core, Vanguard Total, iShares Select, Direxion Daily, and Charles Schwa. 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

Information Ratio0.24
Maximum Drawdown3.56
Value At Risk2.00
Potential Upside0.8207
  

iShares MSCI Market Premium Indicators

Risk Adjusted Performance0.01

iShares MSCI EAFE Backtested Returns

Macroaxis considers iShares MSCI to be not too risky. iShares MSCI EAFE shows Sharpe Ratio of -0.2312 which attests that iShares MSCI EAFE had -0.2312% 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 Mean Deviation of 0.5897 to validate risk estimate we provide. The entity maintains market beta of 0.0 which attests that the returns on MARKET and iShares MSCI are completely uncorrelated. 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(0.35) 

Poor reverse predictability

iShares MSCI EAFE Small Cap ETF has poor reverse predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 21, 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 -0.35 indicates that nearly 35.0% 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 -0.35
Spearman Rank Test -0.08
Price Variance 0.87
Lagged Price Variance 0.35

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 

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Correlation Analysis

Reduce portfolio risk simply by holding instruments which are not perfectly correlated
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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 Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.