MSCI Backtesting

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MSCI -- USA Stock  

Earning Report: 7th of May 2020  

With this equity back-testing module your can estimate the performance of a buy and hold strategy of MSCI and determine expected loss or profit from investing in MSCI over given investment horizon. Additionally, see MSCI Hype Analysis, MSCI Correlation, MSCI Valuation, MSCI Volatility as well as analyze MSCI Alpha and Beta and MSCI Performance.

MSCI 'What if' Analysis

No Change 0.00  0.0 
In 3 months and 1 day
If you would invest  0.00  in MSCI on January 8, 2020 and sell it all today you would earn a total of 0.00 from holding MSCI or generate 0.0% return on investment in MSCI over 90 days. MSCI is related to or competes with CME, FactSet Research, Intercontinental, Moodys, Morningstar, Nasdaq, and Newmont Mining. MSCI Inc., together with its subsidiaries, provides investment decision support tools for the clients to manage their in...

MSCI Upside/Downside Indicators

Downside Deviation5.16
Information Ratio0.1078
Maximum Drawdown24.15
Value At Risk(6.12)
Potential Upside10.41

MSCI Market Premium Indicators

Risk Adjusted Performance0.2534
Jensen Alpha0.404
Total Risk Alpha0.6201
Sortino Ratio0.1071
Treynor Ratio0.8181

MSCI Backtested Returns

Macroaxis considers MSCI very steady given 3 months investment horizon. MSCI retains Efficiency (Sharpe Ratio) of 0.047, which conveys that the firm had 0.047% of return per unit of risk over the last 3 months. Our philosophy in estimating volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for MSCI, which you can use to evaluate future volatility of the firm. Please exercise MSCI Semi Deviation of 4.86, Mean Deviation of 3.55 and Market Risk Adjusted Performance of 0.8281 to check out if our risk estimates are consistent with your expectations. On a scale of 0 to 100 MSCI holds performance score of 3. The company owns a Beta (Systematic Risk) of 0.382, which conveys that as returns on market increase, MSCI returns are expected to increase less than the market. However, during bear market, the loss on holding MSCI will be expected to be smaller as well. Although it is extremely important to respect MSCI existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy in estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing MSCI technical indicators you can now evaluate if the expected return of 0.2482% will be sustainable into the future. Please exercises MSCI Information Ratio, Downside Variance, Day Median Price, as well as the relationship between Treynor Ratio and Kurtosis to make a quick decision on weather MSCI current price history will revert.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.25) 
correlation synergy

Weak reverse predictability

MSCI has weak reverse predictability. Overlapping area represents the amount of predictability between MSCI time series from 8th of January 2020 to 22nd of February 2020 and 22nd of February 2020 to 7th of April 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 MSCI price movement. The serial correlation of -0.25 indicates that over 25.0% of current MSCI price fluctuation can be explain by its past prices. Given that MSCI has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of MSCI for similar time interval.
Correlation Coefficient-0.25
Spearman Rank Test-0.31
Residual Average0.0
Price Variance592.84

MSCI lagged returns against current returns

 Current and Lagged Values 

MSCI regressed lagged prices vs. current prices

 Current vs Lagged Prices 

MSCI Lagged Returns

 Regressed Prices 

Current Sentiment - MSCI

MSCI Investor Sentiment

Most of Macroaxis users are now bullish on MSCI. What is your trading attitude regarding investing in MSCI? Are you bullish or bearish?
98% Bullish
2% Bearish

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Additionally, see MSCI Hype Analysis, MSCI Correlation, MSCI Valuation, MSCI Volatility as well as analyze MSCI Alpha and Beta and MSCI Performance. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Macroaxis is not a registered investment advisor or broker/dealer. All investments, including stocks, funds, ETFs, or cryptocurrencies, are speculative and involve substantial risk of loss. We encourage our investors to invest carefully. Much of our information is derived directly from data published by companies or submitted to governmental agencies which we believe are reliable, but are without our independent verification. Therefore, we cannot assure you that the information is accurate or complete. We do not in any way warrant or guarantee the success of any action you take in reliance on our statements or recommendations. Also, note that past performance is not necessarily indicative of future results. All investments carry risk, and all investment decisions of an individual remain the responsibility of that individual. There is no guarantee that systems, indicators, or signals will result in profits or that they will not result in losses. All investors are advised to fully understand all risks associated with any investing they choose to do. Hypothetical or simulated performance is not indicative of future results. We make no representations or warranties that any investor will, or is likely to, achieve profits similar to those shown because hypothetical or simulated performance is not necessarily indicative of future results. For more information please visit our terms and condition page