Apple Risk Analysis And Volatility Evaluation

AAPL -- USA Stock  

USD 187.63  1.32  0.71%

Macroaxis considers Apple not too risky given 1 month investment horizon. Apple secures Sharpe Ratio (or Efficiency) of 0.4079 which signifies that Apple had 0.4079% 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. By analyzing Apple technical indicators you can presently evaluate if the expected return of 0.6177% is justified by implied risk. Please makes use of Apple Coefficient Of Variation of 258.54, Risk Adjusted Performance of 0.01 and Mean Deviation of 1.07 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Apple Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, Apple has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and Apple are completely uncorrelated. Furthermore, AppleIt does not look like Apple alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Apple is 245.15. The daily returns are destributed with a variance of 2.29 and standard deviation of 1.51. The mean deviation of Apple is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.51
Ir
Information ratio =0.39

Actual Return Volatility

Apple inherits 1.5142% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4388% 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

Market Insensitive

Investment Outlook

Apple Investment Opportunity
Apple has a volatility of 1.51 and is 1.05 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days.

Total Debt

Apple Total Debt History

Total Debt

Volatility Indicators

Apple Current Risk Indicators
Check also Trending Equities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..