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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

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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 Period	1 Month [change]
Direction	Positive
Strength	Very Weak
Accuracy	95.0%
Values	Daily Returns

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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

Tangent Of Price Move

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Information Ratio	Expected Shortfall	Potential Upside	Value At Risk	Maximum Drawdown
AAPL	1.70	0.24	0.00	0.84	0.00	0.15	0.00	3.84	(2.82)	7.34	Backtest
GSPC	0.77	0.00	0.00	0.00	0.00	(0.09)	0.00	1.53	(1.35)	3.14	Backtest

Comparative Volatility

Predicted Return Density

Benchmark

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Returns

Apple Inc

Premiums

Correlation

Profile

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.

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Backtest

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