Benchmark  United States  NYSE  11,065   132.3682  -1.1821% 


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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  Embed   Timeline 
Given the investment horizon of 30 days, Apple Inc is expected to under-perform the SP 500. In addition to that, Apple is 1.87 times more volatile than S&P 500. It trades about -0.09 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.01 per unit of volatility. If you would invest  210,892  in S&P 500 on April 27, 2015 and sell it today you would lose (471.99) from holding S&P 500 or give up 0.22% of portfolio value over 30 days.

Correlation Coefficient

0.1

Parameters

Time Period1 Month [change]
DirectionPositive ^GSPC Moved Up vs AAPL
StrengthInsignificant
Accuracy90.91%
ValuesDaily Returns

Diversification

Average 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

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S&P 500

  

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