SP 500 Backtesting

GSPC -- USA Index  

 3,006  7.74  0.26%

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

June 20, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 18, 2019
0.00
If you would invest  0.00  in SP 500 on June 20, 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 Deviation1.19
Information Ratio0.0093
Maximum Drawdown4.81
Value At Risk(1.22)
Potential Upside1.3

SP 500 Market Premium Indicators

Risk Adjusted Performance0.049
Total Risk Alpha0.0075
Sortino Ratio0.0071

SP 500 Backtested Returns

SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0336 which indicates the index had 0.0336% 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 0.0313% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.02) 
correlation synergy

Very weak reverse predictability

S&P 500 has very weak reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from June 20, 2019 to August 4, 2019 and August 4, 2019 to September 18, 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 -0.02 indicates that only 2.0% 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-0.02
Spearman Rank Test0.39
Residual Average0.0
Price Variance2795.91

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 

Did you try this?

Run Fundamentals Matrix Now

   

Fundamentals Matrix

View fundamentals matrix and analyze how accounts are interrelated and interconnected with each other
All  Next Launch Module

Also Currentnly Active

Purchased over 300 shares of
few hours ago
Traded for 35.11
Sold over 200 shares of
few hours ago
Traded for 47.76
Purchased over 100 shares of
few hours ago
Traded for 4.78
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 Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
Search macroaxis.com