SPDR Portfolio Backtesting

SPIB -- USA Etf  

USD 32.89  0.04  0.12%

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

SPDR Portfolio 'What if' Analysis

October 16, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
December 15, 2018
0.00
If you would invest  0.00  in SPDR Portfolio on October 16, 2018 and sell it all today you would earn a total of 0.00 from holding SPDR Portfolio Interm Term Corp Bd ETF or generate 0.0% return on investment in SPDR Portfolio over 60 days. SPDR Portfolio is related to or competes with iShares iBoxx, Guggenheim BulletShrs, Guggenheim BulletShrs, iShares iBonds, PIMCO Investment, and Guggenheim BulletShrs. The investment seeks to provide investment results that correspond generally to the price and yield performance of the B...

SPDR Portfolio Upside/Downside Indicators

Information Ratio0.85
Maximum Drawdown0.4548
Value At Risk(0.21)
Potential Upside0.1818
  

SPDR Portfolio Market Premium Indicators

Risk Adjusted Performance(0.18)
Jensen Alpha(0.019065)
Total Risk Alpha(0.007103)
Treynor Ratio1.31

SPDR Portfolio Interm Backtested Returns

Macroaxis considers SPDR Portfolio to be not too risky. SPDR Portfolio Interm owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0791 which indicates SPDR Portfolio Interm had -0.0791% of return per unit of volatility over the last 2 months. 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 Portfolio Interm Term Corp Bd ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate SPDR Portfolio Risk Adjusted Performance of (0.18) and Coefficient Of Variation of (1,539) to confirm risk estimate we provide. The entity has beta of -0.0134 which indicates as returns on market increase, returns on owning SPDR Portfolio are expected to decrease at a much smaller rate. During bear market, SPDR Portfolio is likely to outperform the market.. Even though it is essential to pay attention to SPDR Portfolio Interm 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 Portfolio Interm Term Corp Bd ETF exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.07 
correlation synergy

Virtually no predictability

SPDR Portfolio Interm Term Corp Bd ETF has virtually no predictability. Overlapping area represents the amount of predictability between SPDR Portfolio time series from October 16, 2018 to November 15, 2018 and November 15, 2018 to December 15, 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 Portfolio Interm price movement. The serial correlation of 0.07 indicates that barely 7.0% of current SPDR Portfolio price fluctuation can be explain by its past prices.
Correlation Coefficient0.07
Spearman Rank Test0.33
Residual Average0.0
Price Variance0.0

SPDR Portfolio Interm lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SPDR Portfolio regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SPDR Portfolio Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at SPDR Portfolio Hype Analysis, SPDR Portfolio Correlation, Portfolio Optimization, SPDR Portfolio Volatility as well as analyze SPDR Portfolio Alpha and Beta and SPDR Portfolio Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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