iShares MSCI Risk Analysis And Volatility Evaluation

SCZ -- USA Etf  

USD 62.91  0.13  0.21%

Macroaxis considers iShares MSCI to be not too risky. iShares MSCI EAFE shows Sharpe Ratio of -0.1769 which attests that iShares MSCI EAFE had -0.1769% 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 0.7151 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

iShares MSCI EAFE Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. iShares MSCI EAFE Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, iShares MSCI has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and iShares MSCI are completely uncorrelated. Furthermore, iShares MSCI EAFE Small Cap ETFIt does not look like iShares MSCI alpha can have any bearing on the equity current valuation.
Considering 30-days investment horizon, the coefficient of variation of iShares MSCI is -565.29. The daily returns are destributed with a variance of 0.77 and standard deviation of 0.87. The mean deviation of iShares MSCI EAFE Small Cap ETF is currently at 0.69. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.87
Ir
Information ratio =0.00

Actual Return Volatility

iShares MSCI EAFE Small Cap ETF has volatility of 0.8749% on return distribution over 30 days investment horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iShares MSCI Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

iShares MSCI Investment Opportunity
iShares MSCI EAFE Small Cap ETF has a volatility of 0.87 and is 1.34 times more volatile than DOW. 8% of all equities and portfolios are less risky than iShares MSCI. Compared to the overall equity markets, volatility of historical daily returns of iShares MSCI EAFE Small Cap ETF is lower than 8 (%) of all global equities and portfolios over the last 30 days.
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