F5 Networks Backtesting

F5 Networks Inc -- USA Stock  

USD 146.27  3.28  2.19%

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
 Time Horizon     30 Days    Login   to change

F5 Networks 'What if' Analysis

February 20, 2018
No Change 0.00  0.0%
In 31 days
March 22, 2018
If you would invest  0.00  in F5 Networks on February 20, 2018 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. F5 Networks, Inc. develops, markets, and sells application delivery networking products that optimize the security, perf...

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 0.109 which denotes F5 Networks Inc had 0.109% 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 1.5, Market Risk Adjusted Performance of 0.04854 and Downside Deviation of 1.96 to check if risk estimate we provide are consistent with the epected return of 0.1555%. F5 Networks has performance score of 7 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of -0.8748 which denotes to the fact that . 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 0.1555% will be sustainable into the future. F5 Networks Inc today owns a risk of 1.4265%. 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(0.33) 

Poor reverse predictability

F5 Networks Inc has poor reverse predictability. Overlapping area represents the amount of predictability between F5 Networks time series from February 20, 2018 to March 7, 2018 and March 7, 2018 to March 22, 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 F5 Networks Inc price movement. The serial correlation of -0.33 indicates that nearly 33.0% 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 -0.33
Spearman Rank Test -0.31
Price Variance 3.19
Lagged Price Variance 10.4

F5 Networks Lagged Returns

 Regressed Prices 

F5 Networks Performance vs DOW

The median price of F5 Networks for the period between Tue, Feb 20, 2018 and Thu, Mar 22, 2018 is 148.15 with a coefficient of variation of 1.55. The daily time series for the period is distributed with a sample standard deviation of 2.29, arithmetic mean of 148.29, and mean deviation of 1.72. The Stock received some media coverage during the period.
 Price Growth (%)  
F5 Networks exotic insider transaction detected02/28/2018
Acquisition by Matte Dan of 1706 shares of F5 Networks subje...03/22/2018