Apple Backtesting

AAPL -- USA Stock  

USD 191.88  0.44  0.23%

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

Apple 'What if' Analysis

June 22, 2018
No Change 0.00  0.0%
In 31 days
July 22, 2018
If you would invest  0.00  in Apple on June 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 30 days. Apple is related to or competes with Fabrinet, Hamilton Beach, LG Display, Emerson Radio, Esports Entertainment, GoPro, and IROBOT CORPORATIO. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators

Downside Deviation0.8835
Information Ratio0.0182
Maximum Drawdown2.98
Value At Risk1.49
Potential Upside1.39

Apple Market Premium Indicators

Risk Adjusted Performance0.067
Jensen Alpha0.1722
Total Risk Alpha0.08
Sortino Ratio0.0195
Treynor Ratio0.18

Apple Backtested Returns

We consider Apple not too risky. Apple secures Sharpe Ratio (or Efficiency) of 0.1773 which signifies that Apple had 0.1773% 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 which you can use to evaluate future volatility of the firm. Please confirm Apple Downside Deviation of 0.8835, Risk Adjusted Performance of 0.067 and Mean Deviation of 0.7579 to double-check if risk estimate we provide are consistent with the epected return of 0.1695%. Apple has performance score of 11 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.6143 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.. 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 0.1695% will be sustainable into the future. Apple right now shows a risk of 0.9559%. 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 0.44 

Average predictability

Apple has average predictability. Overlapping area represents the amount of predictability between Apple time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 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 0.44 indicates that just about 44.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient 0.44
Spearman Rank Test 0.29
Price Variance 1.07
Lagged Price Variance 4.7

Apple lagged returns against current returns

 Current and Lagged Values 

Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Apple Lagged Returns

 Regressed Prices 

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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 Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.