Apple Risk Analysis

We consider Apple not too risky. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.2242 which signifies that Apple Inc had 0.2242% 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-eight technical indicators for Apple Inc which you can use to evaluate future volatility of the firm. Please confirm Apple Inc Downside Deviation of 0.5881, Risk Adjusted Performance of 0.1171 and Mean Deviation of 0.4778 to double-check if risk estimate we provide are consistent with the epected return of 0.1567%.
Investment Horizon     30 Days    Login   to change

Apple Market Sensitivity

Apple returns are very sensitive to returns on the market. As market goes up or down, Apple is expected to follow.
One Month Beta |Analyze Apple Inc Demand Trend
Check current 30 days Apple correlation with market (NYSE)
β = 0.9607
Apple llmost one BetaApple Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Apple has beta of 0.9607 . This suggests Apple Inc market returns are very sensitive to returns on the market. As the market benchmark goes up or down, Apple is expected to follow. Moreover, Apple Inc has an alpha of 0.1718 implying that it can potentially generate 0.1718% excess return over NYSE after adjusting for the inherited market risk (beta).
 Predicted Return Density 
Benchmark  Embed    Returns 
Given the investment horizon of 30 days, the coefficient of variation of Apple is 446.11. The daily returns are destributed with a variance of 0.49 and standard deviation of 0.7. The mean deviation of Apple Inc is currently at 0.5. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.56
α
Alpha over NYSE
= 0.17 
βBeta against NYSE= 0.96 
σ
Overall volatility
= 0.70 
 IrInformation ratio = 0.26 

Actual Return Volatility

Apple Inc inherits 0.6992% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.5455% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
Benchmark  Embed    Timeline 

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Almost mirrors market
Total Debt
Apple Inc Total Debt History
Largest Trends
Apple Largest Period Trend
 137.38 
  
 136.53 
0.85  0.62%
Lowest period price (30 days)
 140.40 
  
 141.46 
1.06  0.75%
Highest period price (30 days)
Investment Outlook
Apple Investment Opportunity
Apple Inc has a volatility of 0.7 and is 1.27 times more volatile than NYSE. 6% of all equities and portfolios are less risky than Apple. Compared to the overall equity markets, volatility of historical daily returns of Apple Inc is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use Apple Inc to enhance returns of your portfolios. The stock experiences large bullish trend. Check odds of Apple to be traded at 155.56 in 30 days. Apple returns are very sensitive to returns on the market. As market goes up or down, Apple is expected to follow.

Apple correlation with market

Very poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding Apple Inc. and equity matching NYA index in the same portfolio.