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.
|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|