Amdocs Backtesting

DOX -- USA Stock  

USD 68.99  0.41  0.59%

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 over given investment horizon. Additionally see Amdocs Hype Analysis, Amdocs Correlation, Amdocs Valuation, Amdocs Volatility as well as analyze Amdocs Alpha and Beta and Amdocs Performance.
 Time Horizon     30 Days    Login   to change
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Amdocs 'What if' Analysis

May 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 21, 2018
0.00
If you would invest  0.00  in Amdocs on May 22, 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 over 30 days. Amdocs is related to or competes with Fiserv, Red Hat, , Kingtone Wirelessinfo, ManTech International, and MIND CTI. Amdocs Limited, through its subsidiaries, provides software and services solutions to the communications, entertainment,...

Amdocs Upside/Downside Indicators

Downside Deviation0.8057
Information Ratio0.3917
Maximum Drawdown3.29
Value At Risk0.77
Potential Upside1.11
  

Amdocs Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.3347

Amdocs Limited Backtested Returns

Macroaxis considers Amdocs not too risky given 1 month investment horizon. Amdocs Limited secures Sharpe Ratio (or Efficiency) of 0.2971 which signifies that Amdocs Limited had 0.2971% of return per unit of standard deviation over the last 1 month. Our philosophy in 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 Amdocs Limited which you can use to evaluate future volatility of the firm. Please makes use of Amdocs Limited Mean Deviation of 0.4842 and Risk Adjusted Performance of 0.01 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Amdocs holds performance score of 19. The firm shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Amdocs are completely uncorrelated. Although it is extremely important to respect Amdocs Limited historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Amdocs Limited technical indicators you can presently evaluate if the expected return of 0.2157% will be sustainable into the future. Please makes use of Amdocs Limited Potential Upside, and the relationship between Jensen Alpha and Accumulation Distribution to make a quick decision on weather Amdocs price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.65 

Good predictability

Amdocs Limited has good predictability. Overlapping area represents the amount of predictability between Amdocs time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 21, 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 0.65 indicates that roughly 65.0% of current Amdocs price fluctuation can be explain by its past prices.
Correlation Coefficient 0.65
Spearman Rank Test 0.83
Price Variance 0.19
Lagged Price Variance 1.18

Amdocs Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Amdocs regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Amdocs Lagged Returns

 Regressed Prices 
      Timeline 

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Fundamental Analysis

View fundamental data based on most recent published financial statements
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Amdocs and Fiserv. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see Amdocs Hype Analysis, Amdocs Correlation, Amdocs Valuation, Amdocs Volatility as well as analyze Amdocs Alpha and Beta and Amdocs Performance. Please also try Cryptocurrency Correlation module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins and exchanges.