Pair Correlation Between Apple and SP 500 |
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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 |
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 Period | 1 Month [change] |
| Direction | Positive |
| Strength | Weak |
| Accuracy | 100.0% |
| Values | Daily 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.
Pair indicators
| MeanDeviation | JensenAlpha | SortinoRatio | TreynorRatio | SemiDeviation | InformationRatio | ExpectedShortfall | PotentialUpside | ValueAt Risk | MaximumDrawdown | ||
| 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
Apple Inc |
Risk-adjusted PerformanceCompared to the overall equity markets, risk-adjusted returns on investments in Apple Inc are ranked lower than 11 (%) of all global equities and portfolios over the last 30 days.
SP 500 |
S&P 500
Pair trading matchups for SP 500