Apple Backtesting

Apple Inc -- USA Stock  

USD 171.1  0.95  0.56%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Apple Inc 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
Investment Horizon     30 Days    Login   to change
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Backtest

Apple 'What if' Analysis

October 20, 2017
0.00
No Change 0.00  0.0%
In 31 days
November 19, 2017
0.00
If you would invest  0.00  in Apple on October 20, 2017 and sell it all today you would earn a total of 0.00 from holding Apple Inc or generate 0.0% return on investment in Apple over 30 days. Apple is related to or competes with HP, Broadridge Financial, CA, Facebook, and Gartner. Apple Inc also sells related software, services, accessories, networking solutions, and thirdparty digital content and a...

Apple Upside/Downside Indicators

  

Apple Market Premium Indicators

Apple Inc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Apple Inc Backtested Returns

Macroaxis considers Apple not too risky given 1 month investment horizon. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.3186 which signifies that Apple Inc had 0.3186% 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 makes use of Apple Inc Downside Deviation of 0.9872, Risk Adjusted Performance of 0.1291 and Mean Deviation of 0.9814 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Apple holds performance score of 21. The firm shows Beta (market volatility) of 0.9664 which signifies that Apple returns are very sensitive to returns on the market. as market goes up or down, Apple is expected to follow.. Although it is vital to follow to Apple Inc historical returns, it is good to be conservative about what you can actually do with the information regarding 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 Inc technical indicators you can presently evaluate if the expected return of 0.4175% will be sustainable into the future. Please makes use of Apple Inc Jensen Alpha as well as the relationship between Potential Upside and Skewness to make a quick decision on weather Apple price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.94) 

Near perfect reversele predictability

Apple Inc has near perfect reversele predictability. Overlapping area represents the amount of predictability between Apple time series from October 20, 2017 to November 4, 2017 and November 4, 2017 to November 19, 2017. 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 Inc price movement. The serial correlation of -0.94 indicates that approximately 94.0% of current Apple price fluctuation can be explain by its past prices. Given that Apple Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Apple for similar time interval.
Correlation Coefficient -0.94
Spearman Rank Test -0.78
Price Variance 5.7
Lagged Price Variance 27.78

Apple Lagged Returns

 Regressed Prices 
      Timeline 

Apple Performance vs DOW

The median price of Apple for the period between Fri, Oct 20, 2017 and Sun, Nov 19, 2017 is 169.08 with a coefficient of variation of 4.42. The daily time series for the period is distributed with a sample standard deviation of 7.38, arithmetic mean of 167.14, and mean deviation of 6.21. The Stock received some media coverage during the period.
November 10, 2017Apple Dividend Paid
Price Growth (%)  
      Timeline 
1
iPhone X Preorders Are Kicking off and Many Are Anticipating...10/27/2017
2
Apple HomePod Delay No Big Deal11/17/2017