Pair Correlation 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 (%) 
Benchmark  Embed   Timeline 

Pair Volatility

Given the investment horizon of 30 days, Apple Inc is expected to generate 2.38 times more return on investment than SP 500. However, Apple is 2.38 times more volatile than S&P 500. It trades about 0.15 of its potential returns per unit of risk. S&P 500 is currently generating about -0.02 per unit of risk. If you would invest  10,421  in Apple Inc on July 29, 2016 and sell it today you would earn a total of  273.00  from holding Apple Inc or generate 2.62% return on investment over 30 days.

Correlation Coefficient

0.61

Parameters

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

Diversification

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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Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.62  0.11  0.17  0.12  0.50  0.14 (0.79) 1.52 (0.78) 3.25 
 0.25  0.00  0.00  0.00  0.00 (0.01) 0.00  0.47 (0.55) 1.41 

Comparative Volatility

 Predicted Return Density 
Benchmark  Embed   Returns 

Apple Inc

  

Risk-adjusted Performance

Compared to the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 10 (%) of all global equities and portfolios over the last 30 days.

Pair trading matchups for Apple

  

SP 500

  

Pair trading matchups for SP 500