SP 500 Backtesting

GSPC -- USA Index  

 3,108  11.62  0.38%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

SP 500 'What if' Analysis

August 17, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
0.00
If you would invest  0.00  in SP 500 on August 17, 2019 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 90 days.

SP 500 Upside/Downside Indicators

Downside Deviation0.8454
Information Ratio(0.00028128)
Maximum Drawdown4.04
Value At Risk(1.23)
Potential Upside1.27

SP 500 Market Premium Indicators

Risk Adjusted Performance0.1309
Total Risk Alpha(0.002932)
Sortino Ratio(0.00024857)

SP 500 Backtested Returns

SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1351 which indicates the index had 0.1351% of return per unit of standard deviation over the last 3 months. Our way of measuring volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-seven 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 0.0983% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.72 
correlation synergy

Good predictability

S&P 500 has good predictability. Overlapping area represents the amount of predictability between SP 500 time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 2019. 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 0.72 indicates that around 72.0% of current SP 500 price fluctuation can be explain by its past prices.
Correlation Coefficient0.72
Spearman Rank Test0.61
Residual Average0.0
Price Variance3706.91

SP 500 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

SP 500 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

SP 500 Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - GSPC

SP 500 Investor Sentiment

Virtually all of Macroaxis investors are at this time bullish on S&P 500. What is your outlook on investing in USA companies? Are you bullish or bearish on S&P 500?
Bullish
Bearish
98% Bullish
2% Bearish
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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. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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