iShares MSCI Risk Analysis And Volatility Evaluation

SCZ -- USA Etf  

USD 62.80  0.02  0.0319%

We consider iShares MSCI not too risky. iShares MSCI EAFE shows Sharpe Ratio of 0.1276 which attests that iShares MSCI EAFE had 0.1276% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of an etf is to use all available market data together with etf 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 check out iShares MSCI EAFE Market Risk Adjusted Performance of 0.4881, Mean Deviation of 0.5457 and Downside Deviation of 0.6312 to validate if risk estimate we provide are consistent with the epected return of 0.0808%.
Horizon     30 Days    Login   to change

iShares MSCI Market Sensitivity

As returns on market increase, iShares MSCI returns are expected to increase less than the market. However during bear market, the loss on holding iShares MSCI will be expected to be smaller as well.
One Month Beta |Analyze iShares MSCI EAFE Demand Trend
Check current 30 days iShares MSCI correlation with market (DOW)
β = 0.2351
iShares MSCI Small 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 seventeen. 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.

iShares MSCI Projected Return Density Against Market

Considering 30-days investment horizon, iShares MSCI has beta of 0.2351 . This entails as returns on market go up, iShares MSCI average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iShares MSCI EAFE Small Cap ETF will be expected to be much smaller as well. Moreover, iShares MSCI EAFE Small Cap ETF has an alpha of 0.0907 implying that it can potentially generate 0.0907% 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 783.54. The daily returns are destributed with a variance of 0.4 and standard deviation of 0.63. The mean deviation of iShares MSCI EAFE Small Cap ETF is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.09
β
Beta against DOW=0.24
σ
Overall volatility
=0.63
Ir
Information ratio =0.0305

iShares MSCI Return Volatility

iShares MSCI EAFE Small Cap ETF has volatility of 0.633% on return distribution over 30 days investment horizon. DOW inherits 0.3947% 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

Slowly supersedes market

Investment Outlook

iShares MSCI Investment Opportunity

iShares MSCI EAFE Small Cap ETF has a volatility of 0.63 and is 1.62 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use iShares MSCI EAFE Small Cap ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of iShares MSCI to be traded at $65.94 in 30 days. As returns on market increase, iShares MSCI returns are expected to increase less than the market. However during bear market, the loss on holding iShares MSCI will be expected to be smaller as well.

iShares MSCI correlation with market

Average 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.

iShares MSCI Volatility Indicators

iShares MSCI EAFE Small Cap ETF Current Risk Indicators

Also please take a look at World Market Map. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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