SP 500 Backtesting

GSPC -- USA Index  

 2,889  41.08  1.44%

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 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 18, 2019
0.00
If you would invest  0.00  in SP 500 on June 19, 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 60 days.

SP 500 Upside/Downside Indicators

Downside Deviation1.16
Information Ratio0.0201
Maximum Drawdown4.81
Value At Risk(1.22)
Potential Upside1.44

SP 500 Market Premium Indicators

Risk Adjusted Performance0.004
Total Risk Alpha0.0203
Sortino Ratio0.0166

SP 500 Backtested Returns

SP 500 owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0268 which indicates the index had -0.0268% of return per unit of standard deviation over the last 2 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-one 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.80) 
correlation synergy

Almost perfect reverse predictability

S&P 500 has almost perfect reverse predictability. Overlapping area represents the amount of predictability between SP 500 time series from June 19, 2019 to July 19, 2019 and July 19, 2019 to August 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 -0.8 indicates that around 80.0% 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-0.8
Spearman Rank Test-0.7
Residual Average0.0
Price Variance3743.29

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 

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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 Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
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