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SP 500 Backtesting

SP
GSPC -- USA Index  

 2,919  59.98  2.01%

With this equity back-testing module your 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 given investment horizon. Check out 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.
Symbol
Backtest

SP 500 'What if' Analysis

0.00
11/30/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/28/2020
0.00
If you would invest  0.00  in SP 500 on November 30, 2019 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 90 days. SP 500 is related to or competes with SK Innovation, Microsoft, Apple, Alphabet, Amazon Com, Berkshire Hathaway, and Facebook.

SP 500 Upside/Downside Indicators

Information Ratio0.0547
Maximum Drawdown6.0
Value At Risk(3.03)
Potential Upside0.9136

SP 500 Market Premium Indicators

Risk Adjusted Performance(0.08)
Total Risk Alpha0.052

SP 500 Backtested Returns

SP 500 retains Efficiency (Sharpe Ratio) of -0.0892 which indicates the organization had -0.0892% of return per unit of price deviation over the last 3 months. Macroaxis approach towards 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. SP 500 exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity owns Beta (Systematic Risk) 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 existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis approach towards 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. SP 500 exposes twenty-seven different technical indicators, which can help you to evaluate its performance.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation 0.32 
correlation synergy

Below average predictability

SP 500 has below average predictability. Overlapping area represents the amount of predictability between SP 500 time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. 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 0.32 indicates that nearly 32.0% of current SP 500 price fluctuation can be explain by its past prices.
Correlation Coefficient0.32
Spearman Rank Test0.54
Residual Average0.0
Price Variance2510.04

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 SP 500. What is your outlook on investing in USA companies? Are you bullish or bearish on SP 500?
Bullish
Bearish
98% Bullish
2% Bearish
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Check out 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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.