SP 500 Backtesting

S&P 500 -- USA Index  

 2,582  3.29  0.13%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of S&P 500 and determine expected loss or profit from investing in SP 500 over given investment horizon. See also SP 500 Hype Analysis, SP 500 Correlation, Portfolio Optimization, SP 500 Volatility as well as analyze SP 500 Alpha and Beta and SP 500 Performance
Investment Horizon     30 Days    Login   to change

SP 500 'What if' Analysis

October 21, 2017
No Change 0.00  0.0%
In 31 days
November 20, 2017
If you would invest  0.00  in SP 500 on October 21, 2017 and sell it all today you would earn a total of 0.00 from holding S&P 500 or generate 0.0% return on investment in SP 500 over 30 days. SP 500 is entity of United States. It is traded as Index on Index exchange.

SP 500 Upside/Downside Indicators


SP 500 Market Premium Indicators

SP 500 lagged returns against current returns

 Current and Lagged Values 

SP 500 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

SP 500 Backtested Returns

SP 500 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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

SP 500 Performance vs DOW

The median price of SP 500 for the period between Sat, Oct 21, 2017 and Mon, Nov 20, 2017 is 2579.85 with a coefficient of variation of 0.39. The daily time series for the period is distributed with a sample standard deviation of 10.03, arithmetic mean of 2578.23, and mean deviation of 7.84. The Index did not receive any noticable media coverage during the period.
Price Growth (%)