SPDR S&P 500 ETF

6m ahead

Predictive Factors

Causally predictive factors identified as the most influential for the value of the selected instrument at the time point 6m away:

Microsoft

Nvidia Corporation

China / U.S. Foreign Exchange Rate USDCNY

SPDR S&P Midcap 400 ETF Trust

Intel

as of Thu 2023-12-14 UTC

Our Probabilistic Prediction

We train models based on the identified causal predictors and run them, with each model predicting a set of possible outcomes for the time point 6m away. The sets of possible outcomes are then aggregated.

Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

SPDR S&P 500 ETF

🟢 p-value: 0.014 > 0.001

Trades

Each model casts a single vote on the likely direction of change. If a trade is executed, the size, in terms of the number of shares or lots, is proportional to the majority vote, and the trade is kept open for the duration of the forecast horizon, which is 6m. This exercise is repeated every day.

The position for the next day, averaged over the sizes of currently opened trades, is as follows

	% Up	% Down	% Undecided
SPDR S&P 500 ETF	77%	6%	17%

with respect to the time point respectively,

	Time	Value
SPDR S&P 500 ETF	Thu 2023-12-14 UTC	472.01

Performance of Past Trades

The Sharpe ratio is calculated on returns measured as the difference between values rather than in percentage, assuming zero trading cost.

SPDR S&P 500 ETF

	Active	Buy-and-Hold
Sharpe ratio (the higher the better)	1.5	1.3
Solvency II Value-at-Risk 99.5% (the lower the better)	-	-