Amdocs Limited Backtesting

Amdocs Limited -- USA Stock  

USD 66.03  0.22  0.33%

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
Investment Horizon     30 Days    Login   to change
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Amdocs Limited 'What if' Analysis

September 20, 2017
 0.00 
No Change 0.00  0.0%
In 30 days
October 20, 2017
 0.00 
If you would invest  0.00  in Amdocs Limited on September 20, 2017 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 offers customer experience and monetization solutions that allow its customers to contextual and personal...

Amdocs Limited Upside/Downside Indicators

  

Amdocs Limited Market Premium Indicators

Amdocs Limited lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Amdocs Limited regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Amdocs Limited Backtested Returns

We consider Amdocs Limited not too risky. Amdocs Limited secures Sharpe Ratio (or Efficiency) of 0.4093 which signifies that Amdocs Limited had 0.4093% 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-one technical indicators for Amdocs Limited which you can use to evaluate future volatility of the firm. Please confirm Amdocs Limited Mean Deviation of 0.3098 and Risk Adjusted Performance of 0.1002 to double-check if risk estimate we provide are consistent with the epected return of 0.1591%. Amdocs Limited has performance score of 27 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0353 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.. Although it is extremely important to respect Amdocs Limited historical returns, it is better to be realistic regarding the information on equity current trending patternss. 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 0.1591% will be sustainable into the future. Amdocs Limited right now shows a risk of 0.3886%. Please confirm Amdocs Limited Market Risk Adjusted Performance, Variance as well as the relationship between Variance and Potential Upside to decide if Amdocs Limited will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.74 

Good predictability

Amdocs Limited has good predictability. Overlapping area represents the amount of predictability between Amdocs Limited time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 2017. 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 0.74 indicates that around 74.0% of current Amdocs Limited price fluctuation can be explain by its past prices.
Correlation Coefficient 0.74
Spearman Rank Test 0.69
Price Variance 0.11
Lagged Price Variance 0.33

Amdocs Limited Lagged Returns

 Regressed Prices 
      Timeline 

Amdocs Limited Performance vs DOW

The median price of Amdocs Limited for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 65.2 with a coefficient of variation of 1.13. The daily time series for the period is distributed with a sample standard deviation of 0.73, arithmetic mean of 64.99, and mean deviation of 0.63. The Stock received some media coverage during the period.
September 28, 2017Amdocs Limited Dividend Paid
Price Growth (%)  
      Timeline 
1
Caxton Associates LP Purchases New Holdings in Amdocs Limite...10/19/2017