Apple Inc Backtested Returns
Macroaxis considers Apple to be not too risky. Apple Inc
secures Sharpe Ratio (or Efficiency) of -0.0246 which signifies that Apple Inc
had -0.0246% of return per unit of risk over the last 1 month. 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 Inc exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Apple Inc Risk Adjusted Performance
of (0.01) and Mean Deviation of 0.4037 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 -0.234 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 Inc historical returns, it is always good to be careful when utilizing equity current trading 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 Inc exposes twenty-one different technical indicators which can help you to evaluate its performance. Apple Inc has expected return of -0.0134%. Please be advised to confirm Apple Inc Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple Inc past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.55) |
Good reverse predictability
Apple Inc has good reverse predictability. Overlapping area represents the amount of predictability between Apple time series from March 29, 2017 to April 13, 2017 and April 13, 2017 to April 28, 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 -0.55 indicates that about 55.0% 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|| -0.55|
|Spearman Rank Test|| -0.85|
|Price Variance|| 1.57|
|Lagged Price Variance|| 0.83|
Apple Lagged Returns