Apple Backtesting

AAPL -- USA Stock  

USD 219.31  1.34  0.61%

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

Apple 'What if' Analysis

September 23, 2018
No Change 0.00  0.0%
In 30 days
October 23, 2018
If you would invest  0.00  in Apple on September 23, 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. Apple Inc. designs, manufactures, and markets mobile communication and media devices, and personal computers to consumer...

Apple Upside/Downside Indicators

Downside Deviation1.91
Information Ratio0.1046
Maximum Drawdown7.88
Value At Risk2.34
Potential Upside3.24

Apple Market Premium Indicators

Risk Adjusted Performance0.0253
Jensen Alpha0.2008
Total Risk Alpha0.3301
Sortino Ratio0.1047
Treynor Ratio0.0267

Apple Backtested Returns

We consider Apple not too risky. Apple secures Sharpe Ratio (or Efficiency) of 0.0075 which signifies that Apple had 0.0075% 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 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 1.91, Risk Adjusted Performance of 0.0253 and Mean Deviation of 1.38 to double-check if risk estimate we provide are consistent with the epected return of 0.0141%. Apple has performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.0067 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 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 0.0141% will be sustainable into the future. Apple right now shows a risk of 1.8871%. 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 0.12 

Insignificant predictability

Apple has insignificant predictability. Overlapping area represents the amount of predictability between Apple time series from September 23, 2018 to October 8, 2018 and October 8, 2018 to October 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 0.12 indicates that less than 12.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient0.12
Spearman Rank Test0.3
Residual Average0.0
Price Variance16.84

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 

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?
98% Bullish
2% Bearish

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 Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.