SPDR SP Backtesting

SDY -- USA Etf  

USD 94.26  0.12  0.13%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of SPDR SP Dividend ETF and determine expected loss or profit from investing in SPDR SP over given investment horizon. Also please take a look at SPDR SP Hype Analysis, SPDR SP Correlation, Portfolio Optimization, SPDR SP Volatility as well as analyze SPDR SP Alpha and Beta and SPDR SP Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

SPDR SP 'What if' Analysis

September 20, 2018
0.00
No Change 0.00  0.0%
In 30 days
October 20, 2018
0.00
If you would invest  0.00  in SPDR SP on September 20, 2018 and sell it all today you would earn a total of 0.00 from holding SPDR SP Dividend ETF or generate 0.0% return on investment in SPDR SP over 30 days. SPDR SP is related to or competes with iShares Russell, Vanguard High, iShares SP, PowerShares FTSE, Schwab Fundamental, and iShares Core. The investment seeks to provide investment results that, before fees and expenses, correspond generally to the total ret...

SPDR SP Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown3.72
Value At Risk2.54
Potential Upside1.55
  

SPDR SP Market Premium Indicators

Risk Adjusted Performance0.22
Jensen Alpha0.17
Total Risk Alpha0.07
Treynor Ratio0.48

SPDR SP Dividend Backtested Returns

Macroaxis considers SPDR SP to be not too risky. SPDR SP Dividend owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1999 which indicates SPDR SP Dividend had -0.1999% of return per unit of volatility over the last 1 month. Macroaxis approach towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. SPDR SP Dividend ETF exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SPDR SP Risk Adjusted Performance of 0.22 and Coefficient Of Variation of 489.33 to confirm risk estimate we provide. The entity has beta of 0.5688 which indicates as returns on market increase, SPDR SP returns are expected to increase less than the market. However during bear market, the loss on holding SPDR SP will be expected to be smaller as well.. Even though it is essential to pay attention to SPDR SP Dividend current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis approach towards measuring future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. SPDR SP Dividend ETF exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.78 

Good predictability

SPDR SP Dividend ETF has good predictability. Overlapping area represents the amount of predictability between SPDR SP time series from September 20, 2018 to October 5, 2018 and October 5, 2018 to October 20, 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 SPDR SP Dividend price movement. The serial correlation of 0.78 indicates that around 78.0% of current SPDR SP price fluctuation can be explain by its past prices.
Correlation Coefficient0.78
Spearman Rank Test0.62
Residual Average0.0
Price Variance3.97

SPDR SP Dividend lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SPDR SP regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPDR SP Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at SPDR SP Hype Analysis, SPDR SP Correlation, Portfolio Optimization, SPDR SP Volatility as well as analyze SPDR SP Alpha and Beta and SPDR SP Performance. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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