F5 Networks Backtesting

F5 Networks Inc -- USA Stock  

USD 131.35  0.35  0.27%

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

November 14, 2017
No Change 0.00  0.0%
In 31 days
December 14, 2017
If you would invest  0.00  in F5 Networks on November 14, 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, and . 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

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks Inc retains Efficiency (Sharpe Ratio) of 0.247 which denotes F5 Networks Inc had 0.247% 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-eight technical indicators for F5 Networks which you can use to evaluate future volatility of the entity. Please utilize F5 Networks Inc Standard Deviation of 1.47, Market Risk Adjusted Performance of 0.2283 and Downside Deviation of 1.47 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 F5 Networks holds performance score of 16. The corporation owns Beta (Systematic Risk) of 1.6834 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 vital to follow to F5 Networks Inc existing price patterns, it is good to be conservative about what you can actually do with the information regarding 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 0.3636% will be sustainable into the future. Please utilizes F5 Networks Inc Coefficient Of Variation, Semi Variance, Price Action Indicator, as well as the relationship between Treynor Ratio and Daily Balance Of Power to make a quick decision on weather F5 Networks Inc current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.03 

Virtually no predictability

F5 Networks Inc has virtually no predictability. Overlapping area represents the amount of predictability between F5 Networks time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 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 0.03 indicates that only 3.0% of current F5 Networks price fluctuation can be explain by its past prices.
Correlation Coefficient 0.03
Spearman Rank Test -0.04
Price Variance 2.1
Lagged Price Variance 6.88

F5 Networks Lagged Returns

 Regressed Prices 

F5 Networks Performance vs DOW

The median price of F5 Networks for the period between Tue, Nov 14, 2017 and Thu, Dec 14, 2017 is 129.86 with a coefficient of variation of 4.19. The daily time series for the period is distributed with a sample standard deviation of 5.35, arithmetic mean of 127.53, and mean deviation of 4.98. The Stock received some media coverage during the period.
Price Growth (%)  
Sale by Edward Eames of 6481 shares of F5 Networks11/22/2017
RSI signifies F5 Networks, Inc. stock down Action may be Ahe...12/13/2017