Model: S&P500

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  Menu 1D ret:  +0.18%MTD ret:  +6.28%Latest signal:  NEUTRAL (2021-09-20)

Background on the model

The S&P500 lists the largest American stocks and covers about 80% of the American stock markets in terms of market cap. Our stocks model uses daily dividend-adjusted prices for the S&P500 as input. This index consists of the 500 largest companies listed on exchanges in the United States. The LSS S&P500 model is calibrated on a history of daily stock prices going back several decades (smoothed out over the medium term) as well as a number of other exogenous risk factors across other asset classes that may impact its behavior. (Date added to LongShortSignal: 2019-10-23).

Performance Since Inception

Daily returns YTD



Daily returns over the last 30 days

Date Return
2021-10-260.18%
2021-10-250.48%
2021-10-22-0.11%
2021-10-210.31%
2021-10-200.37%
2021-10-190.74%
2021-10-180.34%
2021-10-150.75%
2021-10-141.72%
2021-10-130.30%
2021-10-12-0.24%
2021-10-11-0.69%
2021-10-08-0.19%
2021-10-070.85%
2021-10-060.41%
2021-10-051.06%
2021-10-04-1.29%
2021-10-011.15%
2021-09-30-1.18%
2021-09-290.17%
2021-09-28-2.03%



Monthly historical returns

Date Asset Long/short Long only
2021-10-266.28%0.00%0.00%
2021-09-30-4.65%-3.57%-3.57%
2021-08-313.04%3.04%3.04%
2021-07-302.38%2.38%2.38%
2021-06-302.33%0.47%0.47%
2021-05-310.70%0.00%0.00%
2021-04-305.34%0.00%0.00%
2021-03-314.38%0.84%0.84%
2021-02-262.76%2.76%2.76%
2021-01-29-1.01%-1.01%-1.01%
2020-12-313.84%3.84%3.84%
2020-11-3010.95%9.59%9.59%
2020-10-30-2.66%-4.98%-4.98%
2020-09-30-3.80%-4.01%-4.01%
2020-08-317.19%7.19%7.19%
2020-07-315.64%7.02%6.33%
2020-06-301.99%1.99%1.99%
2020-05-294.76%4.76%4.76%
2020-04-3012.82%-2.22%5.51%
2020-03-31-12.35%6.01%0.00%
2020-02-28-8.23%2.61%-2.86%
2020-01-31-0.04%-0.04%-0.04%

Signals

Date open Date closed Days Asset Signal Return Result
2021-09-20 Open Open SPX NEUTRAL +5.1% Profit
2021-06-29 2021-09-20 83 SPX LONG +1.9% Profit
2021-06-25 2021-06-29 4 SPX NEUTRAL +0.3% Profit
2021-06-24 2021-06-25 1 SPX LONG +0.3% Profit
2021-03-05 2021-06-24 111 SPX NEUTRAL +11.5% Profit
2020-11-02 2021-03-05 123 SPX LONG +16.7% Profit
2020-10-28 2020-11-02 5 SPX NEUTRAL +1.2% Profit
2020-10-20 2020-10-28 8 SPX LONG -5.0% Loss
2020-09-17 2020-10-20 33 SPX NEUTRAL +2.7% Profit
   2020-07-23 2020-09-17 56 SPX LONG +4.1% Profit
   2020-07-21 2020-07-23 2 SPX SHORT +0.7% Profit
   2020-04-13 2020-07-21 99 SPX LONG +18.5% Profit
2020-02-25 2020-04-13 48 SPX SHORT +11.5% Profit
2019-10-23 2020-02-25 125 SPX LONG +4.8% Profit