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 
Given the investment horizon of 30 days, Apple Inc is expected to under-perform the SP 500. In addition to that, Apple is 1.03 times more volatile than S&P 500. It trades about -0.34 of its total potential returns per unit of risk. S&P 500 is currently generating about -0.13 per unit of volatility. If you would invest  209,010  in S&P 500 on May 26, 2016 and sell it today you would lose (5,282) from holding S&P 500 or give up 2.53% of portfolio value over 30 days.

Correlation Coefficient

0.5

Parameters

Time Period1 Month [change]
DirectionPositive 
StrengthWeak
Accuracy95.45%
ValuesDaily 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
    Optimize
Mean
Deviation
Jensen
Alpha
Sortino
Ratio
Treynor
Ratio
Semi
Deviation
Information
Ratio
Expected
Shortfall
Potential
Upside
Value
At Risk
Maximum
Drawdown
 0.74 (0.30) 0.00 (18.39) 0.00 (0.42) 0.00  0.79 (2.29) 3.08 
 0.37  0.00 (0.10) 0.00  0.30 (0.09)(0.45) 0.70 (0.81) 1.62 

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