Apple Backtesting

Apple Inc -- USA Stock  

USD 173.87  1.65  0.96%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Apple Inc 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
Investment Horizon     30 Days    Login   to change
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Backtest

Apple 'What if' Analysis

November 18, 2017
0.00
No Change 0.00  0.0%
In 30 days
December 18, 2017
0.00
If you would invest  0.00  in Apple on November 18, 2017 and sell it all today you would earn a total of 0.00 from holding Apple Inc or generate 0.0% return on investment in Apple over 30 days. Apple is related to or competes with HP, Broadridge Financial, CA, Facebook, and Gartner. Apple Inc also sells related software, services, accessories, networking solutions, and thirdparty digital content and a...

Apple Upside/Downside Indicators

  

Apple Market Premium Indicators

Apple Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Apple Inc Backtested Returns

We consider Apple not too risky. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.1233 which signifies that Apple Inc had 0.1233% 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-one technical indicators for Apple Inc which you can use to evaluate future volatility of the firm. Please confirm Apple Inc Downside Deviation of 0.7648, Risk Adjusted Performance of 0.0707 and Mean Deviation of 0.723 to double-check if risk estimate we provide are consistent with the epected return of 0.1175%. Apple has performance score of 8 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5614 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 extremely important to respect Apple Inc historical returns, it is better to be realistic regarding the information on 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 Inc technical indicators you can presently evaluate if the expected return of 0.1175% will be sustainable into the future. Apple Inc right now shows a risk of 0.9528%. Please confirm Apple Inc Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.63) 

Very good reverse predictability

Apple Inc has very good reverse predictability. Overlapping area represents the amount of predictability between Apple time series from November 18, 2017 to December 3, 2017 and December 3, 2017 to December 18, 2017. 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 Inc price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Apple price fluctuation can be explain by its past prices. Given that Apple Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Apple for similar time interval.
Correlation Coefficient -0.63
Spearman Rank Test -0.53
Price Variance 2.69
Lagged Price Variance 4.0

Apple Lagged Returns

 Regressed Prices 
      Timeline 

Apple Performance vs DOW

The median price of Apple for the period between Sat, Nov 18, 2017 and Mon, Dec 18, 2017 is 171.7 with a coefficient of variation of 1.14. The daily time series for the period is distributed with a sample standard deviation of 1.95, arithmetic mean of 171.5, and mean deviation of 1.67. The Stock received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Apple Inc. Makes a Huge Investment in Key Supplier12/15/2017