Apple Backtesting

AAPL -- USA Stock  

USD 188.74  0.10  0.05%

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

May 19, 2018
No Change 0.00  0.0%
In 31 days
June 18, 2018
If you would invest  0.00  in Apple on May 19, 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 HP, Broadridge Financial, , Facebook, Gartner, and NetQin Mobile. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators

Downside Deviation0.536
Information Ratio0.0679
Maximum Drawdown2.83
Value At Risk0.91
Potential Upside0.8358

Apple Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.0828

Apple Backtested Returns

We consider Apple not too risky. Apple secures Sharpe Ratio (or Efficiency) of 0.0551 which signifies that Apple had 0.0551% 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 which you can use to evaluate future volatility of the firm. Please confirm Apple Downside Deviation of 0.536, Risk Adjusted Performance of 0.01 and Mean Deviation of 0.4976 to double-check if risk estimate we provide are consistent with the epected return of 0.0356%. Apple has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Apple are completely uncorrelated. Although it is extremely important to respect Apple 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 technical indicators you can presently evaluate if the expected return of 0.0356% will be sustainable into the future. Apple right now shows a risk of 0.6465%. Please confirm Apple Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 

Very good reverse predictability

Apple has very good reverse predictability. Overlapping area represents the amount of predictability between Apple time series from May 19, 2018 to June 3, 2018 and June 3, 2018 to June 18, 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 -0.61 indicates that roughly 61.0% of current Apple price fluctuation can be explain by its past prices. Given that Apple 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 -0.61
Spearman Rank Test -0.08
Price Variance 2.13
Lagged Price Variance 2.05

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 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Apple and HP. 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
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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 Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.