Apple Backtesting

Apple -- USA Stock  

USD 165.73  0.01  0.006%

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.
 Time Horizon     30 Days    Login   to change
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Backtest

Apple 'What if' Analysis

February 22, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2018
0.00
If you would invest  0.00  in Apple on February 22, 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 HP, Broadridge Financial, , Gartner, NQ Mobile, and . Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators

Information Ratio0.0058
Maximum Drawdown7.58
Value At Risk2.56
Potential Upside1.91
  

Apple Market Premium Indicators

Risk Adjusted Performance0.081892
Jensen Alpha0.08888
Total Risk Alpha0.0048
Treynor Ratio6.96

Apple Backtested Returns

Macroaxis considers Apple to be not too risky. Apple secures Sharpe Ratio (or Efficiency) of -0.0514 which signifies that Apple had -0.0514% 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-eight 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 0.081892 and Mean Deviation of 1.21 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 -0.0126 which signifies that as returns on market increase, returns on owning Apple are expected to decrease at a much smaller rate. During bear market, Apple is likely to outperform the market.. 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-eight different technical indicators which can help you to evaluate its performance. Apple has expected return of -0.0838%. Please be advised to confirm Apple Sortino Ratio, Skewness, Price Action Indicator, as well as the relationship between Potential Upside and Rate Of Daily Change 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 0.50 

Modest predictability

Apple has modest predictability. Overlapping area represents the amount of predictability between Apple time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 23, 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 0.5 indicates that about 50.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient 0.5
Spearman Rank Test -0.05
Price Variance 15.14
Lagged Price Variance 8.77

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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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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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 Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.