Apple Backtesting

AAPL -- USA Stock  

USD 214.50  3.23  1.48%

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

June 24, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 22, 2019
0.00
If you would invest  0.00  in Apple on June 24, 2019 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 90 days. Apple is related to or competes with Fabrinet, Hamilton Beach, LG Display, Emerson Radio, Mohawk Group, GoPro, and iRobot. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers

Apple Upside/Downside Indicators

Downside Deviation1.73
Information Ratio0.0824
Maximum Drawdown8.86
Value At Risk(2.17)
Potential Upside2.28

Apple Market Premium Indicators

Risk Adjusted Performance0.0941
Jensen Alpha0.1282
Total Risk Alpha0.1205
Sortino Ratio0.0787
Treynor Ratio0.1091

Apple Backtested Returns

We consider Apple very steady. Apple secures Sharpe Ratio (or Efficiency) of 0.0835 which signifies that the organization had 0.0835% 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-one technical indicators for Apple which you can use to evaluate future volatility of the firm. Please confirm Apple Downside Deviation of 1.73, Mean Deviation of 1.24 and Risk Adjusted Performance of 0.0941 to double-check if risk estimate we provide are consistent with the epected return of 0.1406%. Apple has performance score of 5 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.415 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. Although it is extremely important to respect Apple historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Apple technical indicators you can presently evaluate if the expected return of 0.1406% will be sustainable into the future. Apple right now shows a risk of 1.6839%. Please confirm Apple Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.43 
correlation synergy

Average predictability

Apple has average predictability. Overlapping area represents the amount of predictability between Apple time series from June 24, 2019 to August 8, 2019 and August 8, 2019 to September 22, 2019. 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 0.43 indicates that just about 43.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient0.43
Spearman Rank Test0.28
Residual Average0.0
Price Variance48.61

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 

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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
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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 Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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