F5 Networks Backtesting

F5 Networks Inc -- USA Stock  

USD 145.03  0.36  0.25%

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

January 21, 2018
No Change 0.00  0.0%
In 31 days
February 20, 2018
If you would invest  0.00  in F5 Networks on January 21, 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 0.0725 which denotes F5 Networks Inc had 0.0725% 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 2.1, Market Risk Adjusted Performance of 0.3131 and Downside Deviation of 3.51 to check if risk estimate we provide are consistent with the epected return of 0.1543%. F5 Networks has performance score of 4 on a scale of 0 to 100. The corporation owns Beta (Systematic Risk) of 0.7841 which denotes to the fact that as returns on market increase, F5 Networks returns are expected to increase less than the market. However during bear market, the loss on holding F5 Networks will be expected to be smaller as well.. 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 0.1543% will be sustainable into the future. F5 Networks Inc today owns a risk of 2.1291%. 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 0.50 

Modest predictability

F5 Networks Inc has modest predictability. Overlapping area represents the amount of predictability between F5 Networks time series from January 21, 2018 to February 5, 2018 and February 5, 2018 to February 20, 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 0.5 indicates that about 50.0% of current F5 Networks price fluctuation can be explain by its past prices.
Correlation Coefficient 0.5
Spearman Rank Test 0.36
Price Variance 9.03
Lagged Price Variance 9.96

F5 Networks Lagged Returns

 Regressed Prices 

F5 Networks Performance vs DOW

The median price of F5 Networks for the period between Sun, Jan 21, 2018 and Tue, Feb 20, 2018 is 141.06 with a coefficient of variation of 2.13. The daily time series for the period is distributed with a sample standard deviation of 3.0, arithmetic mean of 140.88, and mean deviation of 2.51. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)