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MyTrendTimer :
Standard and Poors 500
analysis of
March 27, 2017 |
Description of this asset/index |
The S and P 500 is a stock market index containing the stocks of 500 Large-Cap corporations, most of which are American. The index is the most notable of the many indices owned and maintained by Standard and Poor's, a division of McGraw-Hill. S and P 500 is used in reference not only to the index but also to the 500 actual companies, the stocks of which are included in the index.
The S and P 500 index forms part of the broader S and P 1500 and S and P Global 1200 stock market indices.
All of the stocks in the index are those of large publicly held companies and trade on the two largest US stock markets, the New York Stock Exchange and Nasdaq. After the Dow Jones Industrial Average, the S and P 500 is the most widely watched index of large-cap US stocks. It is considered to be a bellwether for the US economy and is a component of the Index of Leading Indicators. It is often quoted using the symbol SPX or INX, and may be prefixed with a caret (^) or with a dollar sign ($). |
|
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 | 1.9 |
Date | March 27, 2017 |
|
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 |
Sell | 28.08.2007 | 372 | 1'432.36 | +10.39 |
Buy | 19.09.2007 | 022 | 1'529.03 | +6.75 |
Sell | 21.11.2007 | 063 | 1'416.77 | -7.34 |
Buy | 01.06.2009 | 557 | 942.87 | -33.45 |
Sell | 08.06.2010 | 372 | 1'062.00 | +12.63 |
Buy | 27.09.2010 | 111 | 1'142.16 | +7.55 |
Sell | 05.08.2011 | 312 | 1'199.38 | +5.01 |
Buy | 04.01.2012 | 152 | 1'277.30 | +6.50 |
Sell | 24.08.2015 | 1327 | 1'893.21 | +48.22 |
Buy | 23.11.2015 | 091 | 2'086.59 | +10.21 |
Sell | 08.01.2016 | 046 | 1'922.03 | -7.89 |
Buy | 30.03.2016 | 081 | 2'063.95 | +7.38 |
Info : Current | 24.03.2017 | 359 | 2'343.98 | +13.57 |
|
Return and result of the differents strategies |
Time Weighted Return of | Value (over the Period) |
Buy and Hold | +61.07 |
Model Buy and Hold | +101.11 |
Model Long Only | +119.74 |
Model Short Only | +8.48 |
Model Long and Short | +138.37 |
|
Time Weighted Return of | Value (Annualized) |
Buy and Hold | +4.01 |
Model Buy and Hold | +6.64 |
Model Long Only | +7.87 |
Model Short Only | +0.56 |
Model Long and Short | +9.09 |
|
Model OverPerf vs Model Buy and Hold | Value (Annualized) |
Model Long vs Model Buy and Hold | +1.22 |
Model Short vs Model Buy and Hold | -6.08 |
Model Long and Short vs Model Buy and Hold | +2.45 |
|
Model OverPerf vs Buy and Hold | Value (Annualized) |
Model Long vs Buy and Hold | +3.85 |
Model Short vs Buy and Hold | -3.46 |
Model Long and Short vs Buy and Hold | +5.08 |
|
|
Various statistical indicators for this asset |
Last 20 quotes Statistics | Value |
Mean quote | 2'368.84 |
Standard Deviation | 14.12 |
Lowest quote | 2'343.98 |
Highest quote | 2'395.96 |
Median | 2'369.97 |
Max Daily Loose percent | -1.24 |
Max Daily Gain percent | 1.37 |
Simple Perf. | -0.99 |
|
Last 5 quotes Statistics | Value |
Mean quote | 2'355.69 |
Standard Deviation | 15.78 |
Lowest quote | 2'343.98 |
Highest quote | 2'378.25 |
Median | 2'361.11 |
Max Daily Loose percent | -1.24 |
Max Daily Gain percent | 0.19 |
Simple Perf. | -1.44 |
|
Previous year Statistics | Value |
Mean quote | 2'094.12 |
Standard Deviation | 102.17 |
Lowest quote | 1'829.08 |
Highest quote | 2'271.72 |
Median | 2'050.40 |
Max Daily Loose percent | -3.59 |
Max Daily Gain percent | 2.61 |
Simple Perf. | 9.54 |
First quote | 2'043.94 |
Last quote | 2'238.83 |
|
Current year Statistics | Value |
Mean quote | 2'322.55 |
Standard Deviation | 45.30 |
Lowest quote | 2'238.83 |
Highest quote | 2'395.96 |
Median | 2'317.40 |
Max Daily Loose percent | -1.24 |
Max Daily Gain percent | 1.37 |
Simple Perf. | 4.70 |
First quote | 2'238.83 |
Last quote | 2'343.98 |
|
Seasonal Return by Month for this asset |
Month | Cumulated TWR Return. | #Month | Average TWR Return |
January | -18.10 | 18 | -1.01 |
February | -5.78 | 18 | -0.32 |
March | +34.81 | 18 | +1.93 |
April | +32.48 | 17 | +1.91 |
May | +3.16 | 17 | +0.19 |
June | -18.73 | 17 | -1.10 |
July | +9.01 | 17 | +0.53 |
August | -6.10 | 17 | -0.36 |
September | -20.98 | 17 | -1.23 |
October | +26.13 | 17 | +1.54 |
November | +16.75 | 17 | +0.99 |
December | +17.04 | 17 | +1.00 |
|
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 | +3.53 |
2008 | -38.49 |
2009 | +23.45 |
2010 | +12.78 |
2011 | -0.00 |
2012 | +13.41 |
2013 | +29.60 |
2014 | +11.39 |
2015 | -0.73 |
2016 | +9.54 |
2017 | +4.70 |
|
Year 2011 to 2012 Monthly performance |
Month | Year | Performance |
January | 2011 | +2.26 |
February | 2011 | +3.20 |
March | 2011 | -0.10 |
April | 2011 | +2.85 |
May | 2011 | -1.35 |
June | 2011 | -1.83 |
July | 2011 | -2.15 |
August | 2011 | -5.68 |
September | 2011 | -7.18 |
October | 2011 | +10.77 |
November | 2011 | -0.51 |
December | 2011 | +0.85 |
January | 2012 | +4.36 |
February | 2012 | +4.06 |
March | 2012 | +3.13 |
April | 2012 | -0.75 |
May | 2012 | -6.27 |
June | 2012 | +3.96 |
July | 2012 | +1.26 |
August | 2012 | +1.98 |
September | 2012 | +2.42 |
October | 2012 | -1.98 |
November | 2012 | +0.28 |
December | 2012 | +0.71 |
|
Year 2013 to 201n Monthly performance |
Month | Year | Performance |
January | 2013 | +5.04 |
February | 2013 | +1.11 |
March | 2013 | +3.60 |
April | 2013 | +1.81 |
May | 2013 | +2.08 |
June | 2013 | -1.50 |
July | 2013 | +4.95 |
August | 2013 | -3.13 |
September | 2013 | +2.97 |
October | 2013 | +4.46 |
November | 2013 | +2.80 |
December | 2013 | +2.36 |
January | 2014 | -3.56 |
February | 2014 | +4.31 |
March | 2014 | +0.69 |
April | 2014 | +0.62 |
May | 2014 | +2.10 |
June | 2014 | +1.91 |
July | 2014 | -1.51 |
August | 2014 | +3.77 |
September | 2014 | -1.55 |
October | 2014 | +2.32 |
November | 2014 | +2.45 |
December | 2014 | -0.42 |
January | 2015 | -3.10 |
February | 2015 | +5.49 |
March | 2015 | -1.74 |
April | 2015 | +0.85 |
May | 2015 | +1.05 |
June | 2015 | -2.10 |
July | 2015 | +1.97 |
August | 2015 | -6.26 |
September | 2015 | -2.64 |
October | 2015 | +8.30 |
November | 2015 | +0.05 |
December | 2015 | -1.75 |
January | 2016 | -5.07 |
February | 2016 | -0.41 |
March | 2016 | +6.60 |
April | 2016 | +0.27 |
May | 2016 | +1.53 |
June | 2016 | +0.09 |
July | 2016 | +3.56 |
August | 2016 | -0.12 |
September | 2016 | -0.12 |
October | 2016 | -1.94 |
November | 2016 | +3.42 |
December | 2016 | +1.82 |
January | 2017 | +1.79 |
February | 2017 | +3.72 |
March | 2017 | -0.83 |
|
Quotes Used | Value |
Link on Quote File | SP500_20170327.csv |
Quote File Used | /local/java/TrendTimer/quote_data/SP500_20170327.csv |
# of Quotes | 4287 |
File first date (dd.MM.yyyy) | 03.01.2000 |
File first quote | 1'455.22 |
File last date (dd.MM.yyyy) | 24.03.2017 |
File last quote | 2'343.98 |
First data considered (dd.MM.yyyy) | 24.05.2000 |
First data considered | 1'399.05 |
Min. Quote date (dd.MM.yyyy) | 09.03.2009 |
Min. Quote value | 676.53 |
Max Quote date (dd.MM.yyyy) | 01.03.2017 |
Max Quote value | 2'395.96 |
Max daily drop date (dd.MM.yyyy) | 15.10.2008 |
Max Daily Drop percent | -9.03 |
Max daily gain date (dd.MM.yyyy) | 13.10.2008 |
Max daily Gain percent | 11.58 |
|
Signals Statistics | Value |
# Generated Signals | 23 |
Avg # op. by year | 1.51 |
# Days | 5480 |
# Days in years | 15.22 |
Biggest loose (Long only) | -7.89 |
Min # days uninvested (before Buy Signal) | 20 |
Max # days uninvested (before Buy Signal) | 557 |
Min # days invested (before Sell Signal) | 23 |
Max # days invested (before Sell Signal) | 1327 |
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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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