iShares MSCI Backtesting

iShares MSCI EAFE Small Cap ETF -- USA Etf  

USD 65.63  0.34  0.52%

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

iShares MSCI 'What if' Analysis

February 18, 2018
No Change 0.00  0.0%
In 30 days
March 20, 2018
If you would invest  0.00  in iShares MSCI on February 18, 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 SPDR SP, iShares Core, iShares Core, iShares Russell, iShares Russell, and iShares Core. iShares MSCI EAFE Small Cap ETF is USA based ETF administrated by State Street Bank and Trust Company

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

We consider iShares MSCI not too risky. iShares MSCI EAFE shows Sharpe Ratio of 4.0E-4 which attests that iShares MSCI EAFE had 4.0E-4% 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 check out iShares MSCI EAFE Market Risk Adjusted Performance of 0.0503, Mean Deviation of 0.5514 and Downside Deviation of 0.8192 to validate if risk estimate we provide are consistent with the epected return of 3.0E-4%. The entity maintains market beta of -0.0681 which attests that as returns on market increase, returns on owning iShares MSCI are expected to decrease at a much smaller rate. During bear market, iShares MSCI is likely to outperform the market.. Although it is extremely important to respect iShares MSCI EAFE 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 MSCI EAFE technical indicators you can presently evaluate if the expected return of 3.0E-4% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 

Insignificant reverse predictability

iShares MSCI EAFE Small Cap ETF has insignificant reverse predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from February 18, 2018 to March 5, 2018 and March 5, 2018 to March 20, 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 -0.19 indicates that over 19.0% 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 -0.19
Spearman Rank Test -0.75
Price Variance 0.21
Lagged Price Variance 0.48

iShares MSCI Lagged Returns

 Regressed Prices 

iShares MSCI Performance vs DOW

The median price of iShares MSCI for the period between Sun, Feb 18, 2018 and Tue, Mar 20, 2018 is 65.76 with a coefficient of variation of 0.93. The daily time series for the period is distributed with a sample standard deviation of 0.61, arithmetic mean of 65.76, and mean deviation of 0.46. The Etf received some media coverage during the period.
 Price Growth (%)  
Can These Stocks Gain Any Traction iShares MSCI EAFE Small-C...03/16/2018