Apple Risk Analysis

Apple Inc -- USA Stock  

USD 155.98  0.27  0.17%

We consider Apple not too risky. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.1508 which signifies that Apple Inc had 0.1508% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Apple Inc which you can use to evaluate future volatility of the firm. Please confirm Apple Inc Downside Deviation of 1.03, Risk Adjusted Performance of 0.032 and Mean Deviation of 0.6785 to double-check if risk estimate we provide are consistent with the epected return of 0.1389%.
Investment Horizon     30 Days    Login   to change

Apple Market Sensitivity

As returns on market increase, Apple returns are expected to increase less than the market. However during bear market, the loss on holding Apple will be expected to be smaller as well.
One Month Beta |Analyze Apple Inc Demand Trend
Check current 30 days Apple correlation with market (DOW)
β = 0.7778
Apple Small BetaApple Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Apple has beta of 0.7778 . This suggests as returns on market go up, Apple average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Apple Inc will be expected to be much smaller as well. Additionally, Apple Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Apple is 663.04. The daily returns are destributed with a variance of 0.85 and standard deviation of 0.92. The mean deviation of Apple Inc is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=(0.0672) 
βBeta against DOW= 0.78 
σ
Overall volatility
= 0.92 
 IrInformation ratio =(0.12) 

Actual Return Volatility

Apple Inc inherits 0.921% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2695% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Apple Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Follows market closely

Total Debt

Apple Inc Total Debt History

Total Debt

Largest Trends

Apple Largest Period Trend
 153.89 
  
 153.28 
0.61  0.4%
Lowest period price (30 days)
 159.78 
  
 160.47 
0.69  0.43%
Highest period price (30 days)

Investment Outlook

Apple Investment Opportunity
Apple Inc has a volatility of 0.92 and is 3.41 times more volatile than DOW. 8% of all equities and portfolios are less risky than Apple. Compared to the overall equity markets, volatility of historical daily returns of Apple Inc is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use Apple Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Apple to be traded at $154.42 in 30 days. As returns on market increase, Apple returns are expected to increase less than the market. However during bear market, the loss on holding Apple will be expected to be smaller as well.

Apple correlation with market

Modest 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.