Apple Backtesting

AAPL -- USA Stock  

USD 209.75  0.88  0.42%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Apple and determine expected loss or profit from investing in Apple over given investment horizon. Check also Apple Hype Analysis, Apple Correlation, Apple Valuation, Apple Volatility as well as analyze Apple Alpha and Beta and Apple Performance.
 Time Horizon     30 Days    Login   to change

Apple 'What if' Analysis

July 16, 2018
No Change 0.00  0.0%
In 31 days
August 15, 2018
If you would invest  0.00  in Apple on July 16, 2018 and sell it all today you would earn a total of 0.00 from holding Apple or generate 0.0% return on investment in Apple over 30 days. Apple is related to or competes with Fabrinet, Hamilton Beach, Esports Entertainment, GoPro, iRobot, Kyocera Corp, and Eastman Kodak. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators

Downside Deviation0.897
Information Ratio0.2861
Maximum Drawdown6.83
Value At Risk0.94
Potential Upside2.92

Apple Market Premium Indicators

Risk Adjusted Performance0.1402
Jensen Alpha0.4303
Total Risk Alpha0.4336
Sortino Ratio0.48
Treynor Ratio0.5181

Apple Backtested Returns

Macroaxis considers Apple not too risky given 1 month investment horizon. Apple secures Sharpe Ratio (or Efficiency) of 0.2852 which signifies that Apple had 0.2852% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for Apple which you can use to evaluate future volatility of the firm. Please makes use of Apple Coefficient Of Variation of 342.59, Risk Adjusted Performance of 0.1402 and Mean Deviation of 0.8816 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Apple holds performance score of 18. The firm shows Beta (market volatility) of 0.8285 which signifies that as returns on market increase, Apple returns are expected to increase less than the market. However during bear market, the loss on holding Apple will be expected to be smaller as well.. Although it is vital to follow to Apple historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Apple technical indicators you can presently evaluate if the expected return of 0.4201% will be sustainable into the future. Please makes use of Apple Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to make a quick decision on weather Apple price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.12 

Insignificant predictability

Apple has insignificant predictability. Overlapping area represents the amount of predictability between Apple time series from July 16, 2018 to July 31, 2018 and July 31, 2018 to August 15, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Apple price movement. The serial correlation of 0.12 indicates that less than 12.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient 0.12
Spearman Rank Test -0.29
Price Variance 27.6
Lagged Price Variance 2.16

Apple lagged returns against current returns

 Current and Lagged Values 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Apple Lagged Returns

 Regressed Prices 

Current Sentiment - AAPL

Apple Investor Sentiment
Majority of Macroaxis users are presently bullish on Apple. What is your sentiment towards investing in Apple? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Apple and Fabrinet. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Apple Hype Analysis, Apple Correlation, Apple Valuation, Apple Volatility as well as analyze Apple Alpha and Beta and Apple Performance. Please also try Commodity Channel Index module to use commodity channel index to analyze current equity momentum.