F5 Networks Backtesting

F5 Networks Inc -- USA Stock  

USD 117.39  2.09  1.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of F5 Networks Inc and determine expected loss or profit from investing in F5 Networks over given investment horizon. Additionally see F5 Networks Hype Analysis, F5 Networks Correlation, F5 Networks Valuation, F5 Networks Volatility as well as analyze F5 Networks Alpha and Beta and F5 Networks Performance
Investment Horizon     30 Days    Login   to change

F5 Networks 'What if' Analysis

September 22, 2017
No Change 0.00  0.0%
In 31 days
October 22, 2017
If you would invest  0.00  in F5 Networks on September 22, 2017 and sell it all today you would earn a total of 0.00 from holding F5 Networks Inc or generate 0.0% return on investment in F5 Networks over 30 days. F5 Networks is related to or competes with Broadridge Financial, CA, Gartner, Workday, CDK Global. It offers Local Traffic Manager, which offer intelligent loadbalancing, traffic management, and application health check...

F5 Networks Upside/Downside Indicators


F5 Networks Market Premium Indicators

F5 Networks Inc lagged returns against current returns

 Current and Lagged Values 

F5 Networks regressed lagged prices vs. current prices

 Current vs Lagged Prices 

F5 Networks Inc Backtested Returns

We consider F5 Networks not too risky. F5 Networks Inc retains Efficiency (Sharpe Ratio) of 0.0011 which denotes F5 Networks Inc had 0.0011% of return per unit of price deviation over the last 1 month. Our way in which we are predicting 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 F5 Networks which you can use to evaluate future volatility of the entity. Please confirm F5 Networks Inc Standard Deviation of 1.56, Market Risk Adjusted Performance of 0.0566 and Downside Deviation of 1.96 to check if risk estimate we provide are consistent with the epected return of 0.0018%. F5 Networks has performance score of 0 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of 1.4967 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, F5 Networks will likely underperform.. Although it is extremely important to respect F5 Networks Inc existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are predicting 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 examining F5 Networks Inc technical indicators you can at this moment evaluate if the expected return of 0.0018% will be sustainable into the future. F5 Networks Inc today owns a risk of 1.5581%. Please confirm F5 Networks Inc Coefficient Of Variation as well as the relationship between Treynor Ratio and Semi Variance to decide if F5 Networks Inc will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.11) 

Insignificant reverse predictability

F5 Networks Inc has insignificant reverse predictability. Overlapping area represents the amount of predictability between F5 Networks time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 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 F5 Networks Inc price movement. The serial correlation of -0.11 indicates that less than 11.0% of current F5 Networks price fluctuation can be explain by its past prices. Given that F5 Networks Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of F5 Networks for similar time interval.
Correlation Coefficient -0.11
Spearman Rank Test 0.18
Price Variance 1.1
Lagged Price Variance 2.58

F5 Networks Lagged Returns

 Regressed Prices 

F5 Networks Performance vs DOW

The median price of F5 Networks for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 118.61 with a coefficient of variation of 1.81. The daily time series for the period is distributed with a sample standard deviation of 2.15, arithmetic mean of 118.39, and mean deviation of 1.77. The Stock received some media coverage during the period.
Price Growth (%)  
Northern Trust Corp Has 97.14 Million Stake in F5 Networks, ...09/29/2017
Acquisition by Alan Higginson of 2156 shares of F5 Networks ...10/20/2017