Projected Return Density against Market
Considering 30-days investment horizon, iShares has beta of 0.6 suggesting as returns on market go up, iShares avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding iShares MSCI Brazil Capped Index will be expected to be much smaller as well. Moreover, iShares MSCI Brazil Capped Index has alpha of 0.6 implying that it can potentially generate 0.6% excess return over S&P 500 after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of iShares is 461.13. The daily returns are destributed with a variance of 0.72 and standard deviation of 0.85. The mean deviation of iShares MSCI Brazil Capped Index is currently at 0.65. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.54
Actual Return Volatility
iShares MSCI Brazil Capped Index has volatility of 0.85%
on return distribution over 30 days investment horizon. S&P 500 shows 0.54% volatility of returns over 30 trading days.