SP 500 Backtested Returns
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0754 which indicates SP 500
had 0.0754% of return per unit of standard deviation over the last 1 month. Our way of measuring volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for S&P 500 which you can use to evaluate future volatility of the entity. The entity has beta of 0.0 which indicates the returns on MARKET and SP 500 are completely uncorrelated. Although it is extremely important to respect SP 500
current price movements, it is better to be realistic regarding the information on equity historical returns. The way of measuring 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 SP 500 technical indicators
you can at this time evaluate if the expected return of 0.0263% will be sustainable into the future.
|15 days auto-correlation||(0.57) |
Good reverse predictability
S&P 500 has good reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from October 21, 2017 to November 5, 2017 and November 5, 2017 to November 20, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of SP 500 price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current SP 500 price fluctuation can be explain by its past prices. Given that S&P 500 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SP 500 for similar time interval.
|Correlation Coefficient|| -0.57|
|Spearman Rank Test|| -0.57|
|Price Variance|| 58.0|
|Lagged Price Variance|| 106.6|
SP 500 Lagged Returns