SP 500 Index Market Value

SP 500's market value is the price at which a share of SP 500 stock trades on a public exchange. It measures the collective expectations of SP 500 investors about the entity's future performance. With this module, you can estimate the performance of a buy and hold strategy of SP 500 and determine expected loss or profit from investing in SP 500 over a given investment horizon. Check out SP 500 Correlation, SP 500 Volatility and SP 500 Alpha and Beta module to complement your research on SP 500.
Symbol


Please note, there is a significant difference between SP 500's value and its price as these two are different measures arrived at by different means. Investors typically determine SP 500 value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, SP 500's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.

SP 500 'What if' Analysis

In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to SP 500's index what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of SP 500.
0.00
11/07/2022
No Change 0.00  0.0 
In 31 days
12/07/2022
0.00
If you would invest  0.00  in SP 500 on November 7, 2022 and sell it all today you would earn a total of 0.00 from holding SP 500 or generate 0.0% return on investment in SP 500 over 30 days. More

SP 500 Upside/Downside Indicators

Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure SP 500's index current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess SP 500 upside and downside potential and time the market with a certain degree of confidence.

SP 500 Market Risk Indicators

Today, many novice investors tend to focus exclusively on investment returns with little concern for SP 500's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SP 500's standard deviation. In reality, there are many statistical measures that can use SP 500 historical prices to predict the future SP 500's volatility.
Sophisticated investors, who have witnessed many market ups and downs, frequently view the market will even out over time. This tendency of SP 500's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy. Please use the tools below to analyze the current value of SP 500 in the context of predictive analytics.
Hype
Prediction
LowEstimated ValueHigh
4,0784,0804,082
Details
Intrinsic
Valuation
LowReal ValueHigh
3,9603,9624,488
Details
Please note, it is not enough to conduct a financial or market analysis of a single entity such as SP 500. Your research has to be compared to or analyzed against SP 500's peers to derive any actionable benefits. When done correctly, SP 500's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy towards taking a position in SP 500.

SP 500 Backtested Returns

SP 500 retains Efficiency (Sharpe Ratio) of 0.0262, which indicates the firm had 0.0262% of return per unit of price deviation over the last 3 months. Our approach towards measuring the volatility of a stock is to use all available market data together with stock-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for SP 500, which you can use to evaluate the future volatility of the company.
SP 500 has a performance score of 2 on a scale of 0 to 100. The entity owns a Beta (Systematic Risk) of 0.0, which indicates not very significant fluctuations relative to the market. Let's try to break down what SP 500's beta means in this case. the returns on MARKET and SP 500 are completely uncorrelated. Although it is important to respect SP 500 existing price patterns, it is better to be realistic regarding the information on the equity's price patterns. The approach towards measuring future performance of any stock 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 0.0448% will be sustainable into the future. SP 500 at this moment owns a risk of 1.71%. Please validate SP 500 coefficient of variation and the relationship between the jensen alpha and skewness to decide if SP 500 will be following its current price history.

Auto-correlation

    
  -0.23  

Weak reverse predictability

SP 500 has weak reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from 7th of November 2022 to 22nd of November 2022 and 22nd of November 2022 to 7th of December 2022. 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 -0.23 indicates that over 23.0% of current SP 500 price fluctuation can be explain by its past prices.
Correlation Coefficient-0.23
Spearman Rank Test-0.24
Residual Average0.0
Price Variance1769214.06

SP 500 lagged returns against current returns

Autocorrelation, which is SP 500 index's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting SP 500's index expected returns. We can calculate the autocorrelation of SP 500 returns to help us make a trade decision. For example, suppose you find that SP 500 index has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the stock movement to match the lagging time series.
   Current and Lagged Values   
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       Timeline  

SP 500 regressed lagged prices vs. current prices

Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If SP 500 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SP 500 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SP 500 index over time.
   Current vs Lagged Prices   
Share
       Timeline  

SP 500 Lagged Returns

When evaluating SP 500's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SP 500 index have on its future price. SP 500 autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, SP 500 autocorrelation shows the relationship between SP 500 index current value and its past values and can show if there is a momentum factor associated with investing in SP 500.
   Regressed Prices   
Share
       Timeline  

Be your own money manager

Our tools can tell you how much better you can do entering a position in SP 500 without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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Check out SP 500 Correlation, SP 500 Volatility and SP 500 Alpha and Beta module to complement your research on SP 500. You can also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.

Other Tools for SP 500 Index

When running SP 500 price analysis, check to measure SP 500's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy SP 500 is operating at the current time. Most of SP 500's value examination focuses on studying past and present price action to predict the probability of SP 500's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move SP 500's price. Additionally, you may evaluate how the addition of SP 500 to your portfolios can decrease your overall portfolio volatility.
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