Apple Backtesting

AAPL -- USA Stock  

USD 170.95  1.85  1.09%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Apple and determine expected loss or profit from investing in Apple over given investment horizon. Check also Apple Hype Analysis, Apple Correlation, Apple Valuation, Apple Volatility as well as analyze Apple Alpha and Beta and Apple Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Apple 'What if' Analysis

October 14, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 13, 2018
0.00
If you would invest  0.00  in Apple on October 14, 2018 and sell it all today you would earn a total of 0.00 from holding Apple or generate 0.0% return on investment in Apple over 60 days. Apple is related to or competes with Fabrinet, Hamilton Beach, LG Display, Emerson Radio, GoPro, iRobot, and Kyocera Corp. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers

Apple Upside/Downside Indicators

Information Ratio(0.18)
Maximum Drawdown11.14
Value At Risk(4.78)
Potential Upside3.49
  

Apple Market Premium Indicators

Risk Adjusted Performance(0.24)
Jensen Alpha(0.43)
Total Risk Alpha(0.41)
Treynor Ratio(0.33)

Apple Backtested Returns

Macroaxis considers Apple to be not too risky. Apple secures Sharpe Ratio (or Efficiency) of -0.2427 which signifies that Apple had -0.2427% of return per unit of risk over the last 2 months. Macroaxis philosophy towards foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Apple exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Apple Risk Adjusted Performance of (0.24) and Mean Deviation of 1.95 to double-check risk estimate we provide. Macroaxis gives Apple performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.5107 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Apple will likely underperform.. Even though it is essential to pay attention to Apple historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Apple exposes twenty-one different technical indicators which can help you to evaluate its performance. Apple has expected return of -0.592%. Please be advised to confirm Apple Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.64 
correlation synergy

Good predictability

Apple has good predictability. Overlapping area represents the amount of predictability between Apple time series from October 14, 2018 to November 13, 2018 and November 13, 2018 to December 13, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Apple price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient0.64
Spearman Rank Test0.58
Residual Average0.0
Price Variance60.37

Apple lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Apple Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - AAPL

Apple Investor Sentiment

Majority of Macroaxis users are presently bullish on Apple. What is your sentiment towards investing in Apple? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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Apple Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Apple and Fabrinet. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Apple Hype Analysis, Apple Correlation, Apple Valuation, Apple Volatility as well as analyze Apple Alpha and Beta and Apple Performance. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
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