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 TrendCheck current 30 days Apple correlation with market (DOW)|
β = 0.7778
Projected Return Density Against MarketGiven 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
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