01 / 概览
What explains the return?
2025-09-16 to 2026-08-31 · Apple · observed Fama–French five factors
2025-09-16至2026-08-31
The five-factor study aligns 241 observed sessions through 2026-08-31. Market, size, value, profitability and investment relationships describe historical associations; they do not establish causal exposures or forecast returns.
02 / 指标
检查结果。
计算指标
| 指标 | 结果 | 定义 / 状态 |
|---|---|---|
| 已对齐的因子观测 | 241 sessions | Exact intersection with the latest official factor dataset |
| Rolling correlation window | 60 sessions | Pearson correlation of excess return and each observed factor |
The five-factor study aligns 241 observed sessions through 2026-08-31. Market, size, value, profitability and investment relationships describe historical associations; they do not establish causal exposures or forecast returns.
2025-09-15至2026-10-19
calculates this technical study from completed adjusted OHLCV sessions. Warm-up values remain unavailable; the indicator is descriptive, not a validated forecast.
2025-09-15至2026-10-19
calculates this technical study from completed adjusted OHLCV sessions. Warm-up values remain unavailable; the indicator is descriptive, not a validated forecast.
2025-09-15至2026-10-19
computes conversion/base high-low midpoints and the shifted technical cloud from observed adjusted OHLC prices. The leading spans are a technical display shift, not a calibrated price forecast; warm-up remains null.
Factor association and regression evidence
| factor | 相关性 | regression_value |
|---|---|---|
| Mkt-RF | 0.3747 | - |
| SMB | 0.0925 | - |
| HML | -0.1007 | - |
| RMW | -0.0212 | - |
| CMA | 0.1600 | - |
| Intercept | - | 0.0010 |
| Mkt-RF Slope | - | 1.1936 |
| SMB Slope | - | -0.2761 |
| HML Slope | - | -0.5312 |
| RMW Slope | - | 0.3420 |
| CMA Slope | - | 1.4551 |
| Mean Squared Error (MSE) | - | 0.0002 |
| R Squared | - | 0.3410 |
calculates correlations and an ordinary-least-squares factor regression on exactly aligned observed excess returns. A coefficient is conditional on the included factors and their source vintage.
Observed risk and performance measurements
| metric | symbol | value | unit | status |
|---|---|---|---|---|
| Annualized volatility | AAPL | 24.3111 | % | calculated |
| Annualized volatility | SPY | 12.6490 | % | calculated |
| Historical VaR (signed return) | AAPL | -1.9766 | % | calculated |
| Historical VaR (signed return) | SPY | -1.3361 | % | calculated |
| Expected shortfall (signed return) | AAPL | -3.4726 | % | calculated |
| Expected shortfall (signed return) | SPY | -1.7467 | % | calculated |
| Maximum drawdown | AAPL | -13.7985 | % | calculated |
| Maximum drawdown | SPY | -8.8850 | % | calculated |
| Skewness | AAPL | -0.4186 | dimensionless | calculated |
| Skewness | SPY | -0.1468 | dimensionless | calculated |
| Kurtosis | AAPL | 3.3247 | dimensionless | calculated |
| Kurtosis | SPY | 1.1319 | dimensionless | calculated |
| Ulcer | AAPL | 6.1012 | % | calculated |
| Ulcer | SPY | 2.0707 | % | calculated |
| Period Return | AAPL | 45.4190 | % | calculated |
| Period Return | SPY | 17.5496 | % | calculated |
| Beta | AAPL | 0.6609 | dimensionless | calculated |
| Daily tracking error | AAPL | 1.4632 | % | calculated |
| Daily information ratio | AAPL | 0.0588 | ratio | calculated |
calculates daily-return risk and performance from the same completed source sessions. Volatility uses 252 sessions per year. VaR/expected-shortfall rows retain the library's signed-return convention; main risk cards show loss-positive values. Tracking error and information ratio retain daily units.
Complete FinanceToolkit technical indicator collection
| indicator | symbol | value | status | date |
|---|---|---|---|---|
| McClellan Oscillator | AAPL | 0.0186 | calculated | 2026-10-19 |
| Advancers - Decliners | AAPL | -1.0000 | calculated | 2026-10-19 |
| On-Balance Volume | AAPL | 1,468,454,500.0000 | calculated | 2026-10-19 |
| Accumulation/Distribution Line | AAPL | 756,099,016.3751 | calculated | 2026-10-19 |
| Chaikin Oscillator | AAPL | -27,972,954.6813 | calculated | 2026-10-19 |
| TRIN | AAPL | - | unavailable | 2026-10-19 |
| New Highs - New Lows | AAPL | 0.0000 | calculated | 2026-10-19 |
| Chaikin Money Flow | AAPL | -0.1622 | calculated | 2026-10-19 |
| Ease of Movement | AAPL | 11.3362 | calculated | 2026-10-19 |
| Negative Volume Index | AAPL | 1,150.0957 | calculated | 2026-10-19 |
| Positive Volume Index | AAPL | 1,264.4081 | calculated | 2026-10-19 |
| Money Flow Index | AAPL | 67.0511 | calculated | 2026-10-19 |
| Williams %R | AAPL | -23.3214 | calculated | 2026-10-19 |
| Aroon Indicator Up | AAPL | 71.4286 | calculated | 2026-10-19 |
| Aroon Indicator Down | AAPL | 14.2857 | calculated | 2026-10-19 |
| Commodity Channel Index | AAPL | 73.8004 | calculated | 2026-10-19 |
| Relative Vigor Index | AAPL | 0.5800 | calculated | 2026-10-19 |
| Force Index | AAPL | 24,445,330.7409 | calculated | 2026-10-19 |
| Ultimate Oscillator | AAPL | 43.0215 | calculated | 2026-10-19 |
| Percentage Price Oscillator | AAPL | 1.8917 | calculated | 2026-10-19 |
| Detrended Price Oscillator | AAPL | -1.2500 | calculated | 2026-10-19 |
| Average Directional Index | AAPL | 18.0352 | calculated | 2026-10-19 |
| Chande Momentum Oscillator | AAPL | 43.5932 | calculated | 2026-10-19 |
| Ichimoku Conversion Line | AAPL | 339.4250 | calculated | 2026-10-19 |
| Ichimoku Base Line | AAPL | 336.9800 | calculated | 2026-10-19 |
| Ichimoku Leading Span A | AAPL | 320.7275 | calculated | 2026-10-19 |
| Ichimoku Leading Span B | AAPL | 312.3656 | calculated | 2026-10-19 |
| Stochastic %K | AAPL | 76.6786 | calculated | 2026-10-19 |
| Stochastic %D | AAPL | 76.0519 | calculated | 2026-10-19 |
| MACD Line | AAPL | 4.1295 | calculated | 2026-10-19 |
| MACD Signal Line | AAPL | 3.9818 | calculated | 2026-10-19 |
| Relative Strength Index | AAPL | 61.1953 | calculated | 2026-10-19 |
| Balance of Power | AAPL | 0.3673 | calculated | 2026-10-19 |
| Awesome Oscillator | AAPL | 10.4044 | calculated | 2026-10-19 |
| Vortex Indicator VI+ | AAPL | 1.0738 | calculated | 2026-10-19 |
| Vortex Indicator VI- | AAPL | 0.8475 | calculated | 2026-10-19 |
| Elder Ray Bull Power | AAPL | 6.5177 | calculated | 2026-10-19 |
| Elder Ray Bear Power | AAPL | 0.6377 | calculated | 2026-10-19 |
| Rate of Change | AAPL | 4.1105 | calculated | 2026-10-19 |
| Choppiness Index | AAPL | 52.7329 | calculated | 2026-10-19 |
| Know Sure Thing | AAPL | 40.2643 | calculated | 2026-10-19 |
| Know Sure Thing Signal Line | AAPL | 46.0773 | calculated | 2026-10-19 |
| Simple Moving Average (SMA) | AAPL | 337.9200 | calculated | 2026-10-19 |
| Exponential Moving Average (EMA) | AAPL | 339.1811 | calculated | 2026-10-19 |
| Double Exponential Moving Average (DEMA) | AAPL | 343.0823 | calculated | 2026-10-19 |
| TRIX | AAPL | 0.1741 | calculated | 2026-10-19 |
| Triangular Moving Average | AAPL | 338.1027 | calculated | 2026-10-19 |
| Weighted Moving Average (WMA) | AAPL | 340.1395 | calculated | 2026-10-19 |
| Hull Moving Average (HMA) | AAPL | 344.3593 | calculated | 2026-10-19 |
| Kaufman Adaptive Moving Average (KAMA) | AAPL | 333.3192 | calculated | 2026-10-19 |
| Volume Weighted Average Price (VWAP) | AAPL | 338.4303 | calculated | 2026-10-19 |
| Parabolic SAR | AAPL | 331.7011 | calculated | 2026-10-19 |
| Pivot Point | AAPL | 343.9133 | calculated | 2026-10-19 |
| Pivot Point Resistance 1 | AAPL | 347.3667 | calculated | 2026-10-19 |
| Pivot Point Support 1 | AAPL | 340.0067 | calculated | 2026-10-19 |
| Fibonacci Retracement 50.0% | AAPL | 336.9800 | calculated | 2026-10-19 |
| Fibonacci Retracement 61.8% | AAPL | 334.3439 | calculated | 2026-10-19 |
| Bollinger Band Upper | AAPL | 346.7240 | calculated | 2026-10-19 |
| Bollinger Band Middle | AAPL | 337.9200 | calculated | 2026-10-19 |
| Bollinger Band Lower | AAPL | 329.1161 | calculated | 2026-10-19 |
| True Range | AAPL | 5.8800 | calculated | 2026-10-19 |
| Average True Range | AAPL | 6.6393 | calculated | 2026-10-19 |
| Supertrend | AAPL | 325.1297 | calculated | 2026-10-19 |
| Supertrend Trend Direction | AAPL | 1.0000 | calculated | 2026-10-19 |
| Keltner Channel Upper | AAPL | 352.4596 | calculated | 2026-10-19 |
| Keltner Channel Middle | AAPL | 339.1811 | calculated | 2026-10-19 |
| Keltner Channel Lower | AAPL | 325.9025 | calculated | 2026-10-19 |
| Donchian Channel Upper | AAPL | 348.1500 | calculated | 2026-10-19 |
| Donchian Channel Middle | AAPL | 336.9800 | calculated | 2026-10-19 |
| Donchian Channel Lower | AAPL | 325.8100 | calculated | 2026-10-19 |
The actual technicals controller collects all supported breadth, momentum, overlap and volatility indicators from observed adjusted OHLCV. Each latest value has its own calculated/unavailable state. Session volume is provider volume, not a fabricated order book.
Source and calculation coverage
| module | status | reason |
|---|---|---|
| ratios/models | unavailable | Financial statement ratios and DuPont require matching annual statement evidence; choose AQ06 for those calculations. |
| fixedincome | unavailable | No specific bond, coupon schedule or swaption market observations were supplied by this stock-market demonstration. Bond and swaption outputs are not invented. |
| economics | unavailable | No dated macro release/vintage dataset was selected. Market price returns are not substituted for economic releases. |
| portfolio/causal econometrics | unavailable | Portfolio optimization and causal research require explicit constraints, instruments and validation; this bounded demonstration does not imply those workflows ran. |
Unavailable measurements retain their specific missing evidence. A method being present in the library does not mean the required market inputs exist.
Measures that need additional evidence (4)
- ratios/models: Financial statement ratios and DuPont require matching annual statement evidence; choose AQ06 for those calculations.
- fixedincome: No specific bond, coupon schedule or swaption market observations were supplied by this stock-market demonstration. Bond and swaption outputs are not invented.
- economics: No dated macro release/vintage dataset was selected. Market price returns are not substituted for economic releases.
- portfolio/causal econometrics: Portfolio optimization and causal research require explicit constraints, instruments and validation; this bounded demonstration does not imply those workflows ran.
03 / 来源与方法
了解推理过程。
计算方法
Public yfinance observations are requested through tomorrow because Yahoo's end date is exclusive.
Only verified completed XNYS sessions at selection time enter daily studies; incomplete current-day bars are excluded.
The selection date is fixed once in Africa/Tunis. The observed source cutoff is displayed separately.
methods receive observed input. Missing values are not filled or replaced with defaults.
Adjusted-close returns are descriptive provider-adjusted returns, not a point-in-time data-vintage backtest.
来源证据
- AAPL2026-10-19
- SPY2026-10-19
- Kenneth French daily five factors2026-08-31
范围与审阅
This is a bounded public-data research demonstration; no transaction execution, accounts or customer records are used.
Sources may be delayed or revised. Current observations and provider licensing must be reviewed before commercial redistribution.
Narratives are generated deterministically from calculated evidence. No language model is claimed to have authored this run.
Factor observations may stop before the market-data cutoff and may be revised. No missing factor dates are projected or filled.
本次选择的运行日期保持固定。市场观测和财务报告期间可能早于该日期。估计值属于研究计算，并非已观测的未来价格。