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Russell 2000 Backtesting

RUT
RUT -- USA Index  

 1,661  34.92  2.06%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Russell 2000 and determine expected loss or profit from investing in Russell 2000 over given investment horizon. Check out Russell 2000 Hype Analysis, Russell 2000 Correlation, Portfolio Optimization, Russell 2000 Volatility as well as analyze Russell 2000 Alpha and Beta and Russell 2000 Performance.
SymbolX
Backtest

Russell 2000 'What if' Analysis

November 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
February 21, 2020
0.00
If you would invest  0.00  in Russell 2000 on November 23, 2019 and sell it all today you would earn a total of 0.00 from holding Russell 2000 or generate 0.0% return on investment in Russell 2000 over 90 days. Russell 2000 is related to or competes with SK Innovation, Bristol Myer, Microsoft, Apple, Alphabet, Berkshire Hathaway, and Berkshire Hathaway.

Russell 2000 Upside/Downside Indicators

Downside Deviation1.2
Information Ratio0.0415
Maximum Drawdown4.75
Value At Risk(1.95)
Potential Upside1.52

Russell 2000 Market Premium Indicators

Risk Adjusted Performance0.0887
Total Risk Alpha0.0264
Sortino Ratio0.0332

Russell 2000 Backtested Returns

Russell 2000 maintains Sharpe Ratio (i.e. Efficiency) of 0.0613 which implies the entity had 0.0613% of return per unit of risk over the last 3 months. Our philosophy towards forecasting volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-six technical indicators for Russell 2000 which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and Russell 2000 are completely uncorrelated. Although it is extremely important to respect Russell 2000 current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Russell 2000 technical indicators you can presently evaluate if the expected return of 0.0582% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.28) 
correlation synergy

Weak reverse predictability

Russell 2000 has weak reverse predictability. Overlapping area represents the amount of predictability between Russell 2000 time series from November 23, 2019 to January 7, 2020 and January 7, 2020 to February 21, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Russell 2000 price movement. The serial correlation of -0.28 indicates that nearly 28.0% of current Russell 2000 price fluctuation can be explain by its past prices. Given that Russell 2000 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Russell 2000 for similar time interval.
Correlation Coefficient-0.28
Spearman Rank Test0.14
Residual Average0.0
Price Variance500.19

Russell 2000 lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Russell 2000 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Russell 2000 Lagged Returns

 Regressed Prices 
    
  Timeline 

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Check out Russell 2000 Hype Analysis, Russell 2000 Correlation, Portfolio Optimization, Russell 2000 Volatility as well as analyze Russell 2000 Alpha and Beta and Russell 2000 Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.