Apple Risk Analysis And Volatility

AAPL -- USA Stock  

Quarterly Earning Report: October 30, 2019  

Macroaxis considers Apple very steady given 3 months investment horizon. Apple secures Sharpe Ratio (or Efficiency) of 0.1282 which signifies that the organization had 0.1282% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. We have found twenty-seven technical indicators for Apple which you can use to evaluate future volatility of the firm. Please makes use of Apple Downside Deviation of 1.83, Risk Adjusted Performance of 0.14 and Mean Deviation of 1.31 to double-check if our risk estimates are consistent with your expectations.

90 Days Market Risk

Very steady

Chance of Distress in 24 months

90 Days Economic Sensitivity

Responds to market
Horizon     30 Days    Login   to change

Apple Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Apple will likely underperform.
3 Months Beta |Analyze Apple Demand Trend
Check current 30 days Apple correlation with market (DOW)
β = 1.439

Apple Central Daily Price Deviation

Apple Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Apple Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Apple Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.439 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average . However, if the benchmark returns are expected to be negative, Apple will likely underperform. Moreover, The company has an alpha of 0.2552 implying that it can potentially generate 0.2552% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Apple is 780.13. The daily returns are destributed with a variance of 2.97 and standard deviation of 1.72. The mean deviation of Apple is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.97
α
Alpha over DOW
=0.26
β
Beta against DOW=1.44
σ
Overall volatility
=1.72
Ir
Information ratio =0.14

Apple Return Volatility

the business inherits 1.7221% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 0.9858% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Apple Investment Opportunity

Apple has a volatility of 1.72 and is 1.74 times more volatile than DOW. 15  of all equities and portfolios are less risky than Apple. Compared to the overall equity markets, volatility of historical daily returns of Apple is lower than 15 () of all global equities and portfolios over the last 30 days. Use Apple to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Apple to be traded at $260.49 in 30 days. . As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Apple will likely underperform.

Apple correlation with market

correlation synergy
Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Apple Inc and equity matching DJI index in the same portfolio.

Apple Current Risk Indicators

Apple Suggested Diversification Pairs

Check also Trending Equities. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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