iShares MSCI Risk Analysis

iShares MSCI EAFE Small Cap ETF -- USA Etf  

USD 66.14  0.14  0.21%

We consider iShares MSCI not too risky. iShares MSCI EAFE shows Sharpe Ratio of 0.028 which attests that iShares MSCI EAFE had 0.028% of return per unit of risk over the last 2 months. 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-eight technical indicators for iShares MSCI EAFE which you can use to evaluate future volatility of the etf. Please check out iShares MSCI EAFE Market Risk Adjusted Performance of 0.066326, Mean Deviation of 0.5814 and Downside Deviation of 0.8426 to validate if risk estimate we provide are consistent with the epected return of 0.0207%.
 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.
2 Months Beta |Analyze iShares MSCI EAFE Demand Trend
Check current 30 days iShares MSCI correlation with market (DOW)
β = -0.111
iShares MSCI Almost negative betaiShares MSCI EAFE Beta Legend

iShares MSCI EAFE Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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 EAFE Small Cap ETF has beta of -0.111 . 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 ETF is likely to outperform the market. Moreover, iShares MSCI EAFE Small Cap ETF has an alpha of 0.0021 implying that it can potentially generate 0.0021% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of iShares MSCI is 3570.49. The daily returns are destributed with a variance of 0.54 and standard deviation of 0.74. The mean deviation of iShares MSCI EAFE Small Cap ETF is currently at 0.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.66
α
Alpha over DOW
=0.0021
β
Beta against DOW=0.11
σ
Overall volatility
=0.74
Ir
Information ratio =0.0897

Actual Return Volatility

iShares MSCI EAFE Small Cap ETF has volatility of 0.7373% on return distribution over 30 days investment horizon. DOW inherits 1.4105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iShares MSCI Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

iShares MSCI Investment Opportunity
DOW has a standard deviation of returns of 1.41 and is 1.91 times more volatile than iShares MSCI EAFE Small Cap ETF. 6% 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 6 (%) of all global equities and portfolios over the last 30 days. Use iShares MSCI EAFE Small Cap ETF to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iShares MSCI to be traded at $65.48 in 30 days. 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.

iShares MSCI correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding iShares MSCI EAFE Small Cap ET and equity matching DJI index in the same portfolio.

Volatility Indicators

iShares MSCI Current Risk Indicators
Also please take a look at World Market Map. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.