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.
|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