Apple Backtesting

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

February 25, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
March 27, 2017
 0.00 
If you would invest  0.00  in Apple on February 25, 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, Facebook, Broadridge Financial, and CA. 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 
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Apple regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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Apple Inc Backtested Returns

We consider Apple not too risky. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.1809 which signifies that Apple Inc had 0.1809% 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 confirm Apple Inc Downside Deviation of 0.5479, Risk Adjusted Performance of 0.1116 and Mean Deviation of 0.4985 to double-check if risk estimate we provide are consistent with the epected return of 0.1298%. Apple has performance score of 12 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.5255 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 Inc historical returns, it is beter to be realistic about what you can do with the information about equity current trading 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 0.1298% will be sustainable into the future. Apple Inc right now shows risk of 0.7175%. Please confirm Apple Inc Jensen Alpha as well as the relationship between Potential Upside and Skewness to decide if Apple Inc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 

Good predictability

Apple Inc has good predictability. Overlapping area represents the amount of predictability between Apple time series from February 25, 2017 to March 12, 2017 and March 12, 2017 to March 27, 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 0.62 indicates that roughly 62.0% of current Apple price fluctuation can be explain by its past prices.
Correlation Coefficient 0.62
Spearman Rank Test 0.47
Price Variance 0.62
Lagged Price Variance 0.89

Apple Lagged Returns

 Regressed Prices 
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Apple Performance vs NYSE

The median price of Apple for the period between Sat, Feb 25, 2017 and Mon, Mar 27, 2017 is 139.755 with a coefficient of variation of 0.97. The daily time series for the period is distributed with a sample standard deviation of 1.35, arithmetic mean of 139.51, and mean deviation of 1.01. The Stock received some media coverage during the period.
Price Growth (%)  
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