Apple Backtesting

Apple Inc -- USA Stock  

USD 178.65  0.63  0.35%

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
 Time Horizon     30 Days    Login   to change

Apple 'What if' Analysis

February 16, 2018
No Change 0.00  0.0%
In 31 days
March 18, 2018
If you would invest  0.00  in Apple on February 16, 2018 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. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators


Apple Market Premium Indicators

Apple Inc lagged returns against current returns

 Current and Lagged Values 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Apple Inc Backtested Returns

We consider Apple not too risky. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.1612 which signifies that Apple Inc had 0.1612% 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 0.7914, Risk Adjusted Performance of 0.2738 and Mean Deviation of 0.9216 to double-check if risk estimate we provide are consistent with the epected return of 0.1565%. Apple has performance score of 10 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.5014 which signifies that as returns on market increase, returns on owning Apple are expected to decrease at a much smaller rate. During bear market, Apple is likely to outperform the market.. 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 0.1565% will be sustainable into the future. Apple Inc right now shows a risk of 0.9708%. 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 0.85 

Very good predictability

Apple Inc has very good predictability. Overlapping area represents the amount of predictability between Apple time series from February 16, 2018 to March 3, 2018 and March 3, 2018 to March 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 Inc price movement. The serial correlation of 0.85 indicates that around 85.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient 0.85
Spearman Rank Test 0.77
Price Variance 3.17
Lagged Price Variance 7.22

Apple Lagged Returns

 Regressed Prices 

Apple Performance vs DOW

The median price of Apple for the period between Fri, Feb 16, 2018 and Sun, Mar 18, 2018 is 176.82 with a coefficient of variation of 1.98. The daily time series for the period is distributed with a sample standard deviation of 3.48, arithmetic mean of 176.04, and mean deviation of 2.77. The Stock did not receive any noticable media coverage during the period.
 Price Growth (%)