SPDR SP Backtesting

SPYB -- USA Etf  

USD 64.41  0.60  0.94%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of SPDR SP 500 Buyback 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

June 22, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 21, 2019
0.00
If you would invest  0.00  in SPDR SP on June 22, 2019 and sell it all today you would earn a total of 0.00 from holding SPDR SP 500 Buyback ETF or generate 0.0% return on investment in SPDR SP over 60 days. SPDR SP is related to or competes with Vanguard Value, iShares Russell, Vanguard High, SPDR SP, iShares SP, iShares Core, and First Trust. The investment seeks to provide investment results that, before fees and expenses, correspond generally to the total ret...

SPDR SP Upside/Downside Indicators

Information Ratio(0.027338)
Maximum Drawdown5.13
Value At Risk(2.09)
Potential Upside1.59

SPDR SP Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.02739)
Total Risk Alpha(0.019216)
Treynor Ratio(0.08)

SPDR SP 500 Backtested Returns

Macroaxis considers SPDR SP to be very steady. SPDR SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0555 which indicates the organization had -0.0555% 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 SP 500 Buyback 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 SP Coefficient Of Variation of (1,514) and Risk Adjusted Performance of (0.06) to confirm risk estimate we provide. The entity has beta of 1.057 which indicates SPDR SP returns are very sensitive to returns on the market. as market goes up or down, SPDR SP is expected to follow. Even though it is essential to pay attention to SPDR SP 500 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 500 Buyback ETF exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 
correlation synergy

Modest reverse predictability

SPDR SP 500 Buyback ETF has modest reverse predictability. Overlapping area represents the amount of predictability between SPDR SP time series from June 22, 2019 to July 22, 2019 and July 22, 2019 to August 21, 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 SPDR SP 500 price movement. The serial correlation of -0.46 indicates that about 46.0% of current SPDR SP price fluctuation can be explain by its past prices. Given that SPDR SP 500 Buyback ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of SPDR SP for similar time interval.
Correlation Coefficient-0.46
Spearman Rank Test-0.23
Residual Average0.0
Price Variance4.28

SPDR SP 500 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 Instant Ratings module to determine any equity ratings based on digital recommendations. macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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