SP 500 Backtesting

GSPC -- USA Index  

 3,146  28.48  0.91%

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

SP 500 'What if' Analysis

September 10, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 9, 2019
If you would invest  0.00  in SP 500 on September 10, 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 Deviation0.6551
Information Ratio0.0216
Maximum Drawdown2.98
Value At Risk(0.86)
Potential Upside0.9662

SP 500 Market Premium Indicators

Risk Adjusted Performance0.0873
Total Risk Alpha0.014
Sortino Ratio0.0196

SP 500 Backtested Returns

SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1442 which indicates the index had 0.1442% 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-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 0.0868% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.45) 
correlation synergy

Modest reverse predictability

S&P 500 has modest reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from September 10, 2019 to October 25, 2019 and October 25, 2019 to December 9, 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 -0.45 indicates that just about 45.0% 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-0.45
Spearman Rank Test-0.21
Residual Average0.0
Price Variance1199.21

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 Lagged Returns

 Regressed Prices 

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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 Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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