Amdocs Backtesting

DOX -- USA Stock  

USD 66.21  0.06  0.09%

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.
Horizon     30 Days    Login   to change

Amdocs 'What if' Analysis

August 22, 2018
No Change 0.00  0.0%
In 30 days
September 21, 2018
If you would invest  0.00  in Amdocs on August 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 BlackLine, CA, Determine, Dell Technologies, EVO Payments, EVERTEC, and F5 Networks. Amdocs Limited, through its subsidiaries, provides software and services solutions to the communications, entertainment,...

Amdocs Upside/Downside Indicators

Downside Deviation0.3928
Information Ratio0.015623
Maximum Drawdown1.72
Value At Risk0.51
Potential Upside0.7303

Amdocs Market Premium Indicators

Risk Adjusted Performance0.093
Jensen Alpha0.0398
Total Risk Alpha0.00971
Sortino Ratio0.016266
Treynor Ratio0.1721

Amdocs Limited Backtested Returns

We consider Amdocs not too risky. Amdocs Limited secures Sharpe Ratio (or Efficiency) of 0.2208 which signifies that Amdocs Limited had 0.2208% 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 stock 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 0.3008 and Risk Adjusted Performance of 0.093 to double-check if risk estimate we provide are consistent with the epected return of 0.0925%. Amdocs has performance score of 14 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.4994 which signifies that as returns on market increase, Amdocs returns are expected to increase less than the market. However during bear market, the loss on holding Amdocs 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 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 0.0925% will be sustainable into the future. Amdocs Limited right now shows a risk of 0.4187%. 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 0.23 

Weak predictability

Amdocs Limited has weak predictability. Overlapping area represents the amount of predictability between Amdocs time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 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 0.23 indicates that over 23.0% of current Amdocs price fluctuation can be explain by its past prices.
Correlation Coefficient0.23
Spearman Rank Test0.15
Residual Average0.0
Price Variance0.36

Amdocs Limited lagged returns against current returns

 Current and Lagged Values 

Amdocs regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Amdocs Lagged Returns

 Regressed Prices 

Current Sentiment - DOX

Amdocs Limited Investor Sentiment

Greater number of Macroaxis users are currently bullish on Amdocs Limited. What is your sentiment towards investing in Amdocs Limited? Are you bullish or bearish?
98% Bullish
2% Bearish

Amdocs Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Amdocs and BlackLine. 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
Run Pair Correlation  
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 Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.