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Benchmark  United States  NYSE  10,692   87.77 Index Moved Up 0.83%  


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Collecting data for AAPL and ^GSPC ...

Correlation analysis between Apple and SP 500 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   
 
Benchmark  Embed   Timeline 
Given the investment horizon of 30 days, Apple Inc is expected to generate 2.26 times more return on investment than SP 500. However, Apple is 2.26 times more volatile than S&P 500. It trades about 0.13 of its potential returns per unit of risk. S&P 500 is currently generating about -0.15 per unit of risk. If you would invest  11,038  in Apple Inc on December 31, 2014 and sell it today you would earn a total of  569  from holding Apple Inc or generate 5.16% return on investment over 30 days.

Correlation Coefficient

0.33

Parameters

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs AAPL
StrengthVery Weak
Accuracy95.0%
ValuesDaily Returns

Diversification

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
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Historical Performance Chart

Comparative Volatility

Predicted Return Density
 
Benchmark  Embed   Returns 

Apple Inc

  
Compared with the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 8 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Apple

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S&P 500

  

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