Description

Apple Inc. designs, manufactures, and markets smartphones, personal computers, tablets, wearables, and accessories worldwide. It also sells various related services. The company offers iPhone, a line of smartphones; Mac, a line of personal computers; iPad, a line of multi-purpose tablets; and wearables, home, and accessories comprising AirPods, Apple TV, Apple Watch, Beats products, HomePod, iPod touch, and other Apple-branded and third-party accessories. It also provides digital content stores and streaming services; AppleCare support services; and iCloud, a cloud service, which stores music, photos, contacts, calendars, mail, documents, and others. In addition, the company offers various service, such as Apple Arcade, a game subscription service; Apple Card, a co-branded credit card; Apple News+, a subscription news and magazine service; and Apple Pay, a cashless payment service, as well as licenses its intellectual property, and provides other related services. The company serves consumers, and small and mid-sized businesses; and the education, enterprise, and government markets. It sells and delivers third-party applications for its products through the App Store, Mac App Store, and Watch App Store. The company also sells its products through its retail and online stores, and direct sales force; and third-party cellular network carriers, wholesalers, retailers, and resellers. Apple Inc. has a collaboration with Google to develop COVID-19 tracking system for Android and iOS devices. Apple Inc. was founded in 1977 and is headquartered in Cupertino, California.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:
  • The total return, or performance over 5 years of Apple is 289.4%, which is higher, thus better compared to the benchmark SPY (68.1%) in the same period.
  • Looking at total return, or increase in value in of 125.7% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (47%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Applying this definition to our asset in some examples:
  • The annual performance (CAGR) over 5 years of Apple is 31.3%, which is higher, thus better compared to the benchmark SPY (11%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 31.1%, which is higher, thus better than the value of 13.7% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Apple is 33.3%, which is greater, thus worse compared to the benchmark SPY (21.4%) in the same period.
  • Looking at volatility in of 31.6% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (18.7%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Looking at the downside volatility of 22.7% in the last 5 years of Apple, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.4%)
  • During the last 3 years, the downside volatility is 21.2%, which is higher, thus worse than the value of 13.3% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of return and volatility (Sharpe) of 0.86 in the last 5 years of Apple, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.4)
  • Looking at ratio of return and volatility (Sharpe) in of 0.91 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.6).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.55) in the period of the last 5 years, the downside risk / excess return profile of 1.27 of Apple is greater, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is 1.35, which is higher, thus better than the value of 0.84 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:
  • Looking at the Downside risk index of 13 in the last 5 years of Apple, we see it is relatively greater, thus worse in comparison to the benchmark SPY (9.45 )
  • During the last 3 years, the Ulcer Index is 13 , which is greater, thus worse than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -38.5 days of Apple is lower, thus worse.
  • Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -30.9 days is smaller, thus worse.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 351 days of Apple is greater, thus worse.
  • Looking at maximum days below previous high in of 351 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (351 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (78 days) in the period of the last 5 years, the average time in days below previous high water mark of 96 days of Apple is higher, thus worse.
  • During the last 3 years, the average days below previous high is 105 days, which is higher, thus worse than the value of 101 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Apple are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.