iShares MSCI Backtesting

SCZ -- USA Etf  

USD 54.28  0.78  1.46%

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

October 13, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 12, 2018
0.00
If you would invest  0.00  in iShares MSCI on October 13, 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 60 days. iShares MSCI is related to or competes with Pulse Electronics, ClearBridge All, Davis Select, MorphoSys, iShares Russell, iShares North, and VanEck Vectors. 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 Ratio(0.028994)
Maximum Drawdown5.16
Value At Risk(2.44)
Potential Upside1.6
  

iShares MSCI Market Premium Indicators

Risk Adjusted Performance(0.22)
Jensen Alpha(0.21)
Total Risk Alpha(0.06)
Treynor Ratio3.62

iShares MSCI EAFE Backtested Returns

Macroaxis considers iShares MSCI to be not too risky. iShares MSCI EAFE shows Sharpe Ratio of -0.1134 which attests that iShares MSCI EAFE had -0.1134% of return per unit of risk over the last 2 months. 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-eight 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 3.63 and Mean Deviation of 0.9092 to validate risk estimate we provide. The entity maintains market beta of -0.0555 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.. 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.23 
correlation synergy

Weak predictability

iShares MSCI EAFE Small Cap ETF has weak predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from October 13, 2018 to November 12, 2018 and November 12, 2018 to December 12, 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 0.23 indicates that over 23.0% of current iShares MSCI price fluctuation can be explain by its past prices.
Correlation Coefficient0.23
Spearman Rank Test0.06
Residual Average0.0
Price Variance0.87

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
Skip
Currently Active Assets on Macroaxis
C   
Purchased over 50 shares of
a day ago
Traded for 56.845
FB   
Purchased over 20 shares of
a day ago
Traded for 141.97
C   
Purchased over 50 shares of
a day ago
Traded for 56.845
F   
Purchased over 300 shares of
a day ago
Traded for 8.47
V   
Purchased over 20 shares of
a day ago
Traded for 136.97
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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
Search macroaxis.com