IShares Russell Backtesting

BRMAX -- USA Fund  

USD 10.75  0.03  0.28%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IShares Russell Mid Cap Index F and determine expected loss or profit from investing in IShares Russell over given investment horizon. Check also IShares Russell Hype Analysis, IShares Russell Correlation, Portfolio Optimization, IShares Russell Volatility as well as analyze IShares Russell Alpha and Beta and IShares Russell Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

IShares Russell 'What if' Analysis

July 19, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 17, 2019
0.00
If you would invest  0.00  in IShares Russell on July 19, 2019 and sell it all today you would earn a total of 0.00 from holding IShares Russell Mid Cap Index F or generate 0.0% return on investment in IShares Russell over 90 days. IShares Russell is related to or competes with Vanguard Index, Fidelity Mid, Bridge Builder, Parnassus Mid, Columbia Fds, Carillon Scout, and Carillon Scout. The investment seeks to track the investment results of the Russell Midcap Index , which measures the performance of the...

IShares Russell Upside/Downside Indicators

Information Ratio(0.003652)
Maximum Drawdown4.81
Value At Risk(1.69)
Potential Upside1.32

IShares Russell Market Premium Indicators

Risk Adjusted Performance(0.016943)
Jensen Alpha(0.022191)
Total Risk Alpha(0.003086)
Treynor Ratio(0.12)

IShares Russell Mid Backtested Returns

Macroaxis considers IShares Russell to be somewhat reliable. IShares Russell Mid holds Efficiency (Sharpe) Ratio of -0.0182 which attests that the entity had -0.0182% of return per unit of risk over the last 3 months. Macroaxis philosophy towards determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. IShares Russell Mid 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 Russell Risk Adjusted Performance of (0.016943) and Market Risk Adjusted Performance of (0.11) to validate risk estimate we provide. The fund retains Market Volatility (i.e. Beta) of 0.2242 which attests that as returns on market increase, IShares Russell returns are expected to increase less than the market. However during bear market, the loss on holding IShares Russell will be expected to be smaller as well. Even though it is essential to pay attention to IShares Russell Mid current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. IShares Russell Mid exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.29 
correlation synergy

Poor predictability

IShares Russell Mid Cap Index F has poor predictability. Overlapping area represents the amount of predictability between IShares Russell time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of IShares Russell Mid price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current IShares Russell price fluctuation can be explain by its past prices.
Correlation Coefficient0.29
Spearman Rank Test0.17
Residual Average0.0
Price Variance0.02

IShares Russell Mid lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IShares Russell regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IShares Russell Lagged Returns

 Regressed Prices 
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Current Sentiment - BRMAX

IShares Russell Mid Investor Sentiment

Macroaxis portfolio users are unresponsive in their opinion about investing in IShares Russell Mid Cap Index F. What is your judgment towards investing in IShares Russell Mid Cap Index F? Are you bullish or bearish?
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IShares Russell Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for IShares Russell and Vanguard Index Trust. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also IShares Russell Hype Analysis, IShares Russell Correlation, Portfolio Optimization, IShares Russell Volatility as well as analyze IShares Russell Alpha and Beta and IShares Russell Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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