BlackRock Backtesting

MADVX -- USA Fund  

USD 20.77  0.02  0.1%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BlackRock Eq Dividend I and determine expected loss or profit from investing in BlackRock over given investment horizon. Please see also BlackRock Hype Analysis, BlackRock Correlation, Portfolio Optimization, BlackRock Volatility as well as analyze BlackRock Alpha and Beta and BlackRock Performance.
Horizon     30 Days    Login   to change

BlackRock 'What if' Analysis

August 21, 2019
No Change 0.00  0.0 
In 3 months and 1 day
November 19, 2019
If you would invest  0.00  in BlackRock on August 21, 2019 and sell it all today you would earn a total of 0.00 from holding BlackRock Eq Dividend I or generate 0.0% return on investment in BlackRock over 90 days. BlackRock is related to or competes with Delaware Value, Equity Income, Invesco Comstock, JPMorgan Value, JPMorgan Value, Federated Strategic, and AIG Focused. The investment seeks long-term total return and current income

BlackRock Upside/Downside Indicators

Downside Deviation0.8801
Information Ratio0.0119
Maximum Drawdown3.21
Value At Risk(1.44)
Potential Upside1.14

BlackRock Market Premium Indicators

Risk Adjusted Performance0.1326
Jensen Alpha0.0205
Total Risk Alpha0.009
Sortino Ratio0.0098
Treynor Ratio0.1365

BlackRock Eq Dividend Backtested Returns

We consider BlackRock very steady. BlackRock Eq Dividend secures Sharpe Ratio (or Efficiency) of 0.1695 which signifies that the fund had 0.1695% of return per unit of standard deviation over the last 3 months. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BlackRock Eq Dividend I which you can use to evaluate future volatility of the entity. Please confirm BlackRock Eq Dividend Risk Adjusted Performance of 0.1326 and Mean Deviation of 0.5305 to double-check if risk estimate we provide are consistent with the epected return of 0.1217%. The organization shows Beta (market volatility) of 0.8952 which signifies that BlackRock returns are very sensitive to returns on the market. as market goes up or down, BlackRock is expected to follow. Although it is extremely important to respect BlackRock Eq Dividend historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing BlackRock Eq Dividend technical indicators you can presently evaluate if the expected return of 0.1217% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 
correlation synergy

Good predictability

BlackRock Eq Dividend I has good predictability. Overlapping area represents the amount of predictability between BlackRock time series from August 21, 2019 to October 5, 2019 and October 5, 2019 to November 19, 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 BlackRock Eq Dividend price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current BlackRock price fluctuation can be explain by its past prices.
Correlation Coefficient0.62
Spearman Rank Test0.51
Residual Average0.0
Price Variance0.21

BlackRock Eq Dividend lagged returns against current returns

 Current and Lagged Values 

BlackRock regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BlackRock Lagged Returns

 Regressed Prices 

Current Sentiment - MADVX

BlackRock Eq Dividend Investor Sentiment

Most of Macroaxis users are now bullish on BlackRock Eq Dividend I. What is your opinion about investing in BlackRock Eq Dividend I? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please see also BlackRock Hype Analysis, BlackRock Correlation, Portfolio Optimization, BlackRock Volatility as well as analyze BlackRock Alpha and Beta and BlackRock Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.