Amdocs Limited Backtesting

Amdocs Limited -- USA Stock  

USD 66.35  0.59  0.90%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Amdocs Limited and determine expected loss or profit from investing in Amdocs Limited over given investment horizon. Additionally see Amdocs Limited Hype Analysis, Amdocs Limited Correlation, Amdocs Limited Valuation, Amdocs Limited Volatility as well as analyze Amdocs Limited Alpha and Beta and Amdocs Limited Performance
 Time Horizon     30 Days    Login   to change

Amdocs Limited 'What if' Analysis

January 23, 2018
No Change 0.00  0.0%
In 31 days
February 22, 2018
If you would invest  0.00  in Amdocs Limited on January 23, 2018 and sell it all today you would earn a total of 0.00 from holding Amdocs Limited or generate 0.0% return on investment in Amdocs Limited over 30 days. Amdocs Limited is related to or competes with Fiserv, Red Hat, Intuit, Kingtone Wirelessinfo, and ManTech International. Amdocs Limited, through its subsidiaries, provides software and services solutions to the communications, entertainment,...

Amdocs Limited Upside/Downside Indicators


Amdocs Limited Market Premium Indicators

Amdocs Limited lagged returns against current returns

 Current and Lagged Values 

Amdocs Limited regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Amdocs Limited Backtested Returns

Macroaxis considers Amdocs Limited to be not too risky. Amdocs Limited secures Sharpe Ratio (or Efficiency) of -0.2409 which signifies that Amdocs Limited had -0.2409% of return per unit of standard deviation over the last 1 month. Macroaxis philosophy in foreseeing risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Amdocs Limited exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Amdocs Limited Mean Deviation of 0.8662 and Risk Adjusted Performance of 0.38 to double-check risk estimate we provide. Macroaxis gives Amdocs Limited performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.5967 which signifies that as returns on market increase, Amdocs Limited returns are expected to increase less than the market. However during bear market, the loss on holding Amdocs Limited will be expected to be smaller as well.. Even though it is essential to pay attention to Amdocs Limited historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Amdocs Limited exposes twenty-eight different technical indicators which can help you to evaluate its performance. Amdocs Limited has expected return of -0.3094%. Please be advised to confirm Amdocs Limited Potential Upside, and the relationship between Jensen Alpha and Accumulation Distribution to decide if Amdocs Limited past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.51) 

Good reverse predictability

Amdocs Limited has good reverse predictability. Overlapping area represents the amount of predictability between Amdocs Limited time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Amdocs Limited price movement. The serial correlation of -0.51 indicates that about 51.0% of current Amdocs Limited price fluctuation can be explain by its past prices. Given that Amdocs Limited has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Amdocs Limited for similar time interval.
Correlation Coefficient -0.51
Spearman Rank Test -0.74
Price Variance 0.85
Lagged Price Variance 3.66

Amdocs Limited Lagged Returns

 Regressed Prices 

Amdocs Limited Performance vs DOW

The median price of Amdocs Limited for the period between Tue, Jan 23, 2018 and Thu, Feb 22, 2018 is 67.16 with a coefficient of variation of 3.2. The daily time series for the period is distributed with a sample standard deviation of 2.15, arithmetic mean of 67.19, and mean deviation of 1.88. The Stock received some media coverage during the period.
Price Growth (%)  
Amdocs Limited Holdings Raised by Commerzbank Aktiengesellsc...02/20/2018