iShares MSCI Backtesting

UAE -- USA Etf  

USD 14.20  0.05  0.35%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iShares MSCI UAE ETF and determine expected loss or profit from investing in iShares MSCI over given investment horizon. Also please take a look at iShares MSCI Hype Analysis, iShares MSCI Correlation, Portfolio Optimization, iShares MSCI Volatility as well as analyze iShares MSCI Alpha and Beta and iShares MSCI Performance.
Horizon     30 Days    Login   to change

iShares MSCI 'What if' Analysis

June 18, 2019
No Change 0.00  0.0%
In 2 months and 31 days
September 16, 2019
If you would invest  0.00  in iShares MSCI on June 18, 2019 and sell it all today you would earn a total of 0.00 from holding iShares MSCI UAE ETF or generate 0.0% return on investment in iShares MSCI over 90 days. iShares MSCI is related to or competes with iShares MSCI, VanEck Vectors, iShares MSCI, iShares Inc, iShares Inc, VanEck Vectors, and iShares Currency. The investment seeks to track the investment results of the MSCI All UAE Capped Index composed of UAE equities

iShares MSCI Upside/Downside Indicators

Downside Deviation1.08
Information Ratio0.0631
Maximum Drawdown4.76
Value At Risk(1.75)
Potential Upside2.14

iShares MSCI Market Premium Indicators

Risk Adjusted Performance0.0791
Jensen Alpha0.0787
Total Risk Alpha0.0625
Sortino Ratio0.0603
Treynor Ratio0.6587

iShares MSCI UAE Backtested Returns

We consider iShares MSCI not too volatile. iShares MSCI UAE shows Sharpe Ratio of 0.0845 which attests that the etf had 0.0845% of return per unit of risk over the last 3 months. 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 UAE which you can use to evaluate future volatility of the etf. Please check out iShares MSCI UAE Downside Deviation of 1.08, Market Risk Adjusted Performance of 0.6687 and Mean Deviation of 0.7657 to validate if risk estimate we provide are consistent with the epected return of 0.0893%. The entity maintains market beta of 0.1223 which attests that 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. Although it is extremely important to respect iShares MSCI UAE historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining iShares MSCI UAE technical indicators you can presently evaluate if the expected return of 0.0893% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.70 
correlation synergy

Good predictability

iShares MSCI UAE ETF has good predictability. Overlapping area represents the amount of predictability between iShares MSCI time series from June 18, 2019 to August 2, 2019 and August 2, 2019 to September 16, 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 MSCI UAE price movement. The serial correlation of 0.7 indicates that around 70.0% of current iShares MSCI price fluctuation can be explain by its past prices.
Correlation Coefficient0.7
Spearman Rank Test0.46
Residual Average0.0
Price Variance0.04

iShares MSCI UAE lagged returns against current returns

 Current and Lagged Values 

iShares MSCI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iShares MSCI Lagged Returns

 Regressed Prices 

Current Sentiment - UAE

iShares MSCI UAE Investor Sentiment

Macroaxis portfolio users are unemotional in their outlook on investing in iShares MSCI UAE ETF. What is your take regarding investing in iShares MSCI UAE ETF? Are you bullish or bearish?
50% Bullish
50% Bearish

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Also please take a look at iShares MSCI Hype Analysis, iShares MSCI Correlation, Portfolio Optimization, iShares MSCI Volatility as well as analyze iShares MSCI Alpha and Beta and iShares MSCI Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.