Macroaxis considers iShares MSCI not too risky given 1 month investment horizon. iShares MSCI EAFE shows Sharpe Ratio of 0.8248 which attests that iShares MSCI EAFE had 0.8248% 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 utilize iShares MSCI EAFE Market Risk Adjusted Performance of
(0.7) and Mean Deviation of 0.379 to validate if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
iShares MSCI Market Sensitivity
|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.One Month Beta |Analyze iShares MSCI EAFE Demand TrendCheck current 30 days iShares MSCI correlation with market (DOW)|
β = -0.3341
iShares MSCI EAFE Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, iShares MSCI EAFE Small Cap has beta of -0.3341 . This entails as returns on benchmark increase, returns on holding iShares MSCI are expected to decrease at a much smaller rate. During bear market, however, iShares MSCI EAFE Small Cap is likely to outperform the market. Moreover, iShares MSCI EAFE Small Cap has an alpha of 0.3158 implying that it can potentially generate 0.3158% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of iShares MSCI is 121.25. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.4. The mean deviation of iShares MSCI EAFE Small Cap is currently at 0.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45