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Benchmark  United States  NYSE  10,893   96.929 Index Moved Down -0.88%  


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Collecting data for AAPL and ^GSPC ...

Correlation analysis between Apple and SP 500

   
Investment horizon:  
  30 Days    Login   to change
This module allows you to analyze existing cross correlation between Apple Inc and S&P 500. You can compare the effects of market volatilities on Apple and SP 500 and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Apple with a short position of SP 500. Please also check ongoing floating volatility patterns of Apple and SP 500.
 
 Apple Inc.  vs   S&P 500
Daily Returns (%)
GSPC   AAPL   
 
Change Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Apple Inc is expected to under-perform the SP 500. In addition to that, Apple is 3.0 times more volatile than S&P 500. It trades about -0.01 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.02 per unit of volatility. If you would invest  199,792  in S&P 500 on August 23, 2014 and sell it today you would lose (363.00) from holding S&P 500 or give up 0.18% of portfolio value over 30 days.

Correlation Coefficient

-0.13
Parameters
Time Period1 Month [change]
DirectionNegative AAPL Moved Down vs ^GSPC
StrengthInsignificant
Accuracy100.0%
ValuesDaily Returns

Diversification

Good diversification
Overlapping area represents amount of risk that can be diversified away by holding Apple Inc. and S&P 500 in the same portfolio assuming nothing else is changed
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Investing ideals could easily outperform a given market if properly optimized
  
SP 500 Report  
  
Apple Report  

Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Embed  
Returns:   
GSPC   AAPL   

Apple Inc

  
Over the last 30 days Apple Inc has generated negative risk-adjusted returns adding no value to investors with long positions.

Pair trading matchups for Apple

Koninklijke Philips NV vs. Apple Inc
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S&P 500

  

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