Apple Risk Analysis

Macroaxis considers Apple not too risky given 1 month investment horizon. Apple Inc secures Sharpe Ratio (or Efficiency) of 0.3945 which signifies that Apple Inc had 0.3945% 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. By analyzing Apple Inc technical indicators you can presently evaluate if the expected return of 0.5266% is justified by implied risk. Please makes use of Apple Inc Coefficient Of Variation of 225.32, Risk Adjusted Performance of 0.1946 and Mean Deviation of 0.7588 to double-check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

Apple Market Sensitivity

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.
One Month Beta |Analyze Apple Inc Demand Trend
Check current 30 days Apple correlation with market (NYSE)
β = 0.5358
Apple Small BetaApple Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Apple has beta of 0.5358 . This suggests as returns on market go up, Apple average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Apple Inc will be expected to be much smaller as well. Moreover, Apple Inc has an alpha of 0.5113 implying that it can potentially generate 0.5113% 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 253.46. The daily returns are destributed with a variance of 1.78 and standard deviation of 1.33. The mean deviation of Apple Inc is currently at 0.71. For similar time horizon, the selected benchmark (NYSE) has volatility of 0.42
α
Alpha over NYSE
= 0.51 
βBeta against NYSE= 0.54 
σ
Overall volatility
= 1.33 
 IrInformation ratio = 0.33 

Actual Return Volatility

Apple Inc inherits 1.3348% risk (volatility on return distribution) over the 30 days horizon. NYSE inherits 0.3852% 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

Follows market closely
Total Debt
Apple Inc Total Debt History
Largest Trends
Apple Largest Period Trend
 121.15 
  
 121.35 
0.20  0.17%
Lowest period price (30 days)
 136.43 
  
 137.11 
0.68  0.50%
Highest period price (30 days)
Investment Outlook
Apple Investment Opportunity
Apple Inc has a volatility of 1.33 and is 3.41 times more volatile than NYSE. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use Apple Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of Apple to be traded at 135.16 in 30 days. 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.

Apple correlation with market

Average 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.