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MyTrendTimer :
Standard and Poors 500
of
April 25, 2007 |
| Weekly Comment about this asset/index |
| The broader SP 500 index was little changed after ending Friday at a 6-1/2-year high.
Beginning of the week, the early wave of earnings reports have been better than expected, as is typical, since companies tend to issue conservative forecasts.
However, forecasts in the first-quarter were particularly low-key, amid economic uncertainty.
Tuesday brought some bad economic news :
The pace of sales of existing homes in the United States dropped sharply in March to a 6.12 million-unit annual rate, the National Association of Realtors said in a report that showed more weakness than analysts had expected.
Consumer confidence at 9-month low : index falls to a lower-than-expected 104.0 on rising gasoline prices; inflation expectations rise to highest since August 2006. |
|
| Financial Instrument | Value |
| Asset Name | Standard and Poors 500 |
| Symbol | GSPC |
| Currency | USD |
| Underlying instrument | iShares SP 500 (IVW) |
|
| Trend/Signal | Value |
| Current Trend/Signal |
Bullish (last signal was a Buy)
|
| Strength | 1.2 |
| Date (dd.MM.yyyy) | 25.04.2007 |
|
| Generated Signals Chart |
 |
|
| Generated Signals |
| Nature | Date (dd.MM.yyyy) | # Days previous op. | Quote | Result previous op. |
| Buy | 18.03.2002 | 000 | 1'165.55 | +0.00 |
| Sell | 11.04.2002 | 023 | 1'103.69 | -5.31 |
| Buy | 01.05.2003 | 385 | 916.30 | -16.98 |
| Sell | 28.07.2004 | 454 | 1'095.42 | +19.55 |
| Buy | 30.09.2004 | 064 | 1'114.58 | +1.75 |
| Sell | 27.04.2005 | 209 | 1'156.38 | +3.75 |
| Buy | 25.05.2005 | 028 | 1'190.01 | +2.91 |
| Sell | 20.10.2005 | 148 | 1'177.80 | -1.03 |
| Buy | 09.11.2005 | 020 | 1'220.65 | +3.64 |
| Sell | 14.06.2006 | 216 | 1'230.04 | +0.77 |
| Buy | 21.08.2006 | 068 | 1'297.52 | +5.49 |
| Info : Current | 24.04.2007 | 246 | 1'480.41 | +14.10 |
|
| Return and result of the differents strategies |
| Time Weighted Return of | Value (over the Period) |
| Buy and Hold | +1.73 |
| Model Buy and Hold | +27.01 |
| Model Long Only | +33.65 |
| Model Short Only | +4.96 |
| Model Long and Short | +40.28 |
|
| Time Weighted Return of | Value (Annualized) |
| Buy and Hold | +0.33 |
| Model Buy and Hold | +5.23 |
| Model Long Only | +6.51 |
| Model Short Only | +0.96 |
| Model Long and Short | +7.79 |
|
| Model OverPerf vs Model Buy and Hold | Value (Annualized) |
| Model Long vs Model Buy and Hold | +1.28 |
| Model Short vs Model Buy and Hold | -4.27 |
| Model Long and Short vs Model Buy and Hold | +2.57 |
|
| Model OverPerf vs Buy and Hold | Value (Annualized) |
| Model Long vs Buy and Hold | +6.17 |
| Model Short vs Buy and Hold | +0.63 |
| Model Long and Short vs Buy and Hold | +7.46 |
|
|
| Various statistical indicators for this asset |
| Last 20 quotes Statistics | Value |
| Mean quote | 1'448.81 |
| Standard Deviation | 21.61 |
| Lowest quote | 1'417.23 |
| Highest quote | 1'484.35 |
| Median | 1'450.79 |
| Max Daily Loose percent | -0.80 |
| Max Daily Gain percent | 1.08 |
| Simple Perf. | 3.08 |
|
| Last 5 quotes Statistics | Value |
| Mean quote | 1'476.73 |
| Standard Deviation | 5.84 |
| Lowest quote | 1'470.73 |
| Highest quote | 1'484.35 |
| Median | 1'477.54 |
| Max Daily Loose percent | -0.23 |
| Max Daily Gain percent | 0.93 |
| Simple Perf. | 0.61 |
|
| Previous year Statistics | Value |
| Mean quote | 1'309.74 |
| Standard Deviation | 50.89 |
| Lowest quote | 1'223.69 |
| Highest quote | 1'427.09 |
| Median | 1'325.39 |
| Max Daily Loose percent | -1.83 |
| Max Daily Gain percent | 2.16 |
| Simple Perf. | 13.62 |
| First quote | 1'248.29 |
| Last quote | 1'418.30 |
|
| Current year Statistics | Value |
| Mean quote | 1'430.75 |
| Standard Deviation | 24.92 |
| Lowest quote | 1'374.12 |
| Highest quote | 1'484.35 |
| Median | 1'429.23 |
| Max Daily Loose percent | -3.47 |
| Max Daily Gain percent | 1.71 |
| Simple Perf. | 4.38 |
| First quote | 1'418.30 |
| Last quote | 1'480.41 |
|
| Seasonal Return by Month for this asset |
| Month | Cumulated TWR Return. | #Month | Average TWR Return |
| January | -2.12 | 8 | -0.27 |
| February | -13.59 | 8 | -1.70 |
| March | +5.71 | 8 | +0.71 |
| April | +7.59 | 8 | +0.95 |
| May | +3.41 | 7 | +0.49 |
| June | -4.70 | 7 | -0.67 |
| July | -8.40 | 7 | -1.20 |
| August | +2.77 | 7 | +0.40 |
| September | -20.41 | 7 | -2.92 |
| October | +19.30 | 7 | +2.76 |
| November | +15.08 | 7 | +2.15 |
| December | +4.33 | 7 | +0.62 |
|
| TWR Return by Year for this asset |
| Year | TWR Return. |
| 2000 | -9.27 |
| 2001 | -13.04 |
| 2002 | -23.37 |
| 2003 | +26.38 |
| 2004 | +8.99 |
| 2005 | +3.00 |
| 2006 | +13.62 |
| 2007 | +4.38 |
|
| Year 2004 to 2005 Monthly performance |
| Month | Year | Performance |
| January | 2004 | +1.73 |
| February | 2004 | +1.22 |
| March | 2004 | -1.64 |
| April | 2004 | -1.68 |
| May | 2004 | +1.21 |
| June | 2004 | +1.80 |
| July | 2004 | -3.43 |
| August | 2004 | +0.23 |
| September | 2004 | +0.94 |
| October | 2004 | +1.40 |
| November | 2004 | +3.86 |
| December | 2004 | +3.25 |
| January | 2005 | -2.53 |
| February | 2005 | +1.89 |
| March | 2005 | -1.91 |
| April | 2005 | -2.01 |
| May | 2005 | +3.00 |
| June | 2005 | -0.01 |
| July | 2005 | +3.60 |
| August | 2005 | -1.12 |
| September | 2005 | +0.69 |
| October | 2005 | -1.77 |
| November | 2005 | +3.52 |
| December | 2005 | -0.10 |
|
| Year 2006 to 200n Monthly performance |
| Month | Year | Performance |
| January | 2006 | +2.55 |
| February | 2006 | +0.05 |
| March | 2006 | +1.11 |
| April | 2006 | +1.22 |
| May | 2006 | -3.09 |
| June | 2006 | +0.01 |
| July | 2006 | +0.51 |
| August | 2006 | +2.13 |
| September | 2006 | +2.46 |
| October | 2006 | +3.15 |
| November | 2006 | +1.65 |
| December | 2006 | +1.26 |
| January | 2007 | +1.41 |
| February | 2007 | -2.18 |
| March | 2007 | +1.00 |
| April | 2007 | +4.19 |
|
| Quotes Used | Value |
| Quote File Used | /local/java/TrendTimer/data/SP500_20070425.csv |
| # of Quotes | 1823 |
| File first date (dd.MM.yyyy) | 03.01.2000 |
| File first quote | 1'455.22 |
| File last date (dd.MM.yyyy) | 24.04.2007 |
| File last quote | 1'480.41 |
| First data considered (dd.MM.yyyy) | 24.05.2000 |
| First data considered | 1'399.05 |
| Min. Quote date (dd.MM.yyyy) | 09.10.2002 |
| Min. Quote value | 776.76 |
| Max Quote date (dd.MM.yyyy) | 24.03.2000 |
| Max Quote value | 1'527.46 |
| Max daily drop date (dd.MM.yyyy) | 14.04.2000 |
| Max Daily Drop percent | -5.78 |
| Max daily gain date (dd.MM.yyyy) | 24.07.2002 |
| Max daily Gain percent | 5.73 |
|
| Signals Statistics | Value |
| # Generated Signals | 11 |
| Avg # op. by year | 2.13 |
| # Days | 1861 |
| # Days in years | 5.17 |
| Biggest loose (Long only) | -5.31 |
| Min # days uninvested (before Buy Signal) | 20 |
| Max # days uninvested (before Buy Signal) | 385 |
| Min # days invested (before Sell Signal) | 23 |
| Max # days invested (before Sell Signal) | 454 |
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| Disclaimer |
| All information provided "as is" for informational purposes only, not intended for trading purposes or advice. Prior to execution of any security trade, you are advised to consult your authorized financial advisor to verify the accuracy of all information. Neither MyTrendTimer nor anyone is liable for any informational errors, incompleteness, or delays, or for any actions taken in reliance on information contained herein. You can freely redistribute the information found herein as long as this disclaimer is included unmodified. Past performance does not guarantee future results. Some indexes, benchmarks or brand names may be trademarks or registered trademarks of their respective owners. |
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