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 1.61 times more return on investment than SP 500. However, Apple is 1.61 times more volatile than S&P 500. It trades about -0.07 of its potential returns per unit of risk. S&P 500 is currently generating about -0.16 per unit of risk. If you would invest  11,844  in Apple Inc on August 2, 2015 and sell it today you would lose (568) from holding Apple Inc or give up 4.8% of portfolio value over 30 days.

Correlation Coefficient

0.82

Parameters

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs AAPL
StrengthStrong
Accuracy100.0%
ValuesDaily Returns
  

Diversification

Very poor 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

  

Risk-adjusted Performance

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

  

S&P 500

  

Pair trading matchups for SP 500