Pair Correlation Between Apple and SP 500

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. See also your portfolio center.Please also check ongoing floating volatility patterns of Apple and SP 500.
Investment Horizon     30 Days    Login   to change
 Apple Inc.  vs   S&P 500
 Daily Returns (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to generate 1.95 times more return on investment than SP 500. However, Apple is 1.95 times more volatile than S&P 500. It trades about 0.17 of its potential returns per unit of risk. S&P 500 is currently generating about -0.04 per unit of risk. If you would invest  10,682  in Apple Inc on August 27, 2016 and sell it today you would earn a total of  589.00  from holding Apple Inc or generate 5.51% return on investment over 30 days.
Correlation Coefficient
Pair Corralation between Apple and SP 500
0.43

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy100.0%
ValuesDaily Returns

Diversification

Very weak 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. The correlation between historical prices or returns on SP 500 and Apple is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Apple Inc are associated (or correlated) with SP 500. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of SP 500 has no effect on the direction of Apple i.e. Apple and SP 500 go up and down completely randomly.
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Pair indicators

Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 1.19  0.22  0.18  0.36  1.07  0.14 (1.64) 3.40 (2.26) 4.70 
 0.52  0.00  0.00  0.00  0.00  0.0095  0.00  1.09 (1.48) 2.98 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns