SP 500 Backtested Returns
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.6234 which indicates SP 500
had 0.6234% 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 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 vital to follow to SP 500
current price movements, it is good to be conservative about what you can actually do with the information regarding 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 0.2639% will be sustainable into the future.
|15 days auto-correlation|| 0.87 |
Very good predictability
S&P 500 has very good predictability. Overlapping area represents the amount of predictability between SP 500 time series from December 23, 2017 to January 7, 2018 and January 7, 2018 to January 22, 2018. 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 0.87 indicates that approximately 87.0% of current SP 500 price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.87|
|Spearman Rank Test|| 0.85|
|Price Variance|| 524.83|
|Lagged Price Variance|| 686.66|
SP 500 Lagged Returns