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

Apple 'What if' Analysis

December 19, 2016
No Change 0.00  0.0%
In 31 days
January 18, 2017
If you would invest  0.00  in Apple on December 19, 2016 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 SONY CP, KONINKLIJKE PHLP, HARMAN INTL, PHIHONG TECHNOLOG, UNIVERSAL ELECT, and Eastman Kodak. 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 0.2798 which signifies that Apple Inc had 0.2798% 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 technical indicators for Apple Inc which you can use to evaluate future volatility of the firm. Please confirm Apple Inc Coefficient Of Variation of 305.26, Risk Adjusted Performance of 0.1301 and Mean Deviation of 0.3855 to double-check if risk estimate we provide are consistent with the epected return of 0.1429%. Apple has performance score of 19 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.067 which signifies that as returns on market increase, Apple returns are expected to increase less than the market. However during bear market, the loss on holding Apple will be expected to be smaller as well.. 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 0.1429% will be sustainable into the future. Apple Inc right now shows risk of 0.5109%. Please confirm Apple Inc Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Apple Inc will be following its price patterns.
Advice Volatility Trend Exposure 
15 days auto-correlation(0.34) 

Poor reverse predictability

Apple Inc has poor reverse predictability. Overlapping area represents the amount of predictability between Apple time series from December 19, 2016 to January 3, 2017 and January 3, 2017 to January 18, 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 -0.34 indicates that nearly 34.0% 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 -0.34
Spearman Rank Test -0.32
Price Variance 2.04
Lagged Price Variance 0.17

Apple Lagged Returns

 Regressed Prices 
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Apple Performance vs NYSE

The median price of Apple for the period between Mon, Dec 19, 2016 and Wed, Jan 18, 2017 is 116.95 with a coefficient of variation of 1.25. The daily time series for the period is distributed with a sample standard deviation of 1.47, arithmetic mean of 117.48, and mean deviation of 1.29. The Stock received some media coverage during the period.
Price Growth (%)  
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