iShares MSCI Backtesting

SCZ -- USA Etf  

USD 57.67  0.34  0.59%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iShares MSCI EAFE Small Cap 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
SymbolX
Backtest

iShares MSCI 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 17, 2019
0.00
If you would invest  0.00  in iShares MSCI on June 19, 2019 and sell it all today you would earn a total of 0.00 from holding iShares MSCI EAFE Small Cap ETF or generate 0.0% return on investment in iShares MSCI over 90 days. iShares MSCI is related to or competes with Vanguard FTSE, Schwab Fundamental, SPDR SP, iShares Edge, iShares Currency, and WisdomTree. The investment seeks to track the investment results of the MSCI EAFE Small Cap Index composed of small-capitalization d...

iShares MSCI Upside/Downside Indicators

Information Ratio0.1541
Maximum Drawdown0.6357
Potential Upside0.6357

iShares MSCI Market Premium Indicators

Risk Adjusted Performance0.2384
Jensen Alpha0.0496
Total Risk Alpha0.0451
Treynor Ratio(3.98)

iShares MSCI EAFE Backtested Returns

Macroaxis considers iShares MSCI very steady given 3 months investment horizon. iShares MSCI EAFE shows Sharpe Ratio of 0.3987 which attests that the etf had 0.3987% 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 EAFE which you can use to evaluate future volatility of the etf. Please utilize iShares MSCI EAFE Market Risk Adjusted Performance of (3.97) and Mean Deviation of 0.1048 to validate if our risk estimates are consistent with your expectations. The entity maintains market beta of -0.0124 which attests that 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. Although it is extremely important to respect iShares MSCI EAFE 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 EAFE technical indicators you can presently evaluate if the expected return of 0.2091% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

iShares MSCI EAFE Small Cap ETF has no correlation between past and present. Overlapping area represents the amount of predictability between iShares MSCI time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 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 MSCI EAFE price movement. The serial correlation of 0.0 indicates that just 0.0% of current iShares MSCI price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

iShares MSCI EAFE lagged returns against current returns

 Current and Lagged Values 
      Timeline 

iShares MSCI regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

iShares MSCI Lagged Returns

 Regressed Prices 
      Timeline 

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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 Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.
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