SP 500 Backtesting

GSPC -- USA Index  

 3,007  20.52  0.69%

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

July 24, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 22, 2019
0.00
If you would invest  0.00  in SP 500 on July 24, 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 Deviation1.16
Information Ratio0.0336
Maximum Drawdown4.81
Value At Risk(1.79)
Potential Upside1.42

SP 500 Market Premium Indicators

Risk Adjusted Performance0.02
Total Risk Alpha0.0347
Sortino Ratio0.0292

SP 500 Backtested Returns

SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0015 which indicates the index had -0.0015% of return per unit of standard deviation over the last 3 months. Macroaxis way of measuring risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. S&P 500 exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity has beta of 0.0 which indicates the returns on MARKET and SP 500 are completely uncorrelated. Even though it is essential to pay attention to SP 500 current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis way of measuring future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. S&P 500 exposes twenty-seven different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.41 
correlation synergy

Average predictability

S&P 500 has average predictability. Overlapping area represents the amount of predictability between SP 500 time series from July 24, 2019 to September 7, 2019 and September 7, 2019 to October 22, 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 0.41 indicates that just about 41.0% of current SP 500 price fluctuation can be explain by its past prices.
Correlation Coefficient0.41
Spearman Rank Test0.06
Residual Average0.0
Price Variance1145.69

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 Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
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