F5 Networks Backtesting

FFIV -- USA Stock  

USD 174.57  0.61  0.35%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of F5 Networks 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
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F5 Networks 'What if' Analysis

April 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
May 23, 2018
0.00
If you would invest  0.00  in F5 Networks on April 23, 2018 and sell it all today you would earn a total of 0.00 from holding F5 Networks or generate 0.0% return on investment in F5 Networks over 30 days. F5 Networks is related to or competes with Hewlett Packard, , Salesforce, Computer Sciences, Broadridge Financial, and WORKDAY. F5 Networks, Inc. develops, markets, and sells application delivery networking products that optimize the security, perf...

F5 Networks Upside/Downside Indicators

Downside Deviation0.4634
Information Ratio0.7075
Maximum Drawdown2.37
Value At Risk0.58
Potential Upside1.5
  

F5 Networks Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio1.04

F5 Networks Backtested Returns

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks retains Efficiency (Sharpe Ratio) of 0.6461 which denotes F5 Networks had 0.6461% 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 technical indicators for F5 Networks which you can use to evaluate future volatility of the entity. Please utilize F5 Networks Variance of 0.4631 and Coefficient Of Variation of 141.33 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 F5 Networks holds performance score of 42. The corporation owns Beta (Systematic Risk) of 0.0 which denotes to the fact that the returns on MARKET and F5 Networks are completely uncorrelated. Although it is vital to follow to F5 Networks 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 technical indicators you can at this moment evaluate if the expected return of 0.4446% will be sustainable into the future. Please utilizes F5 Networks Standard Deviation as well as the relationship between Maximum Drawdown and Expected Short fall to make a quick decision on weather F5 Networks current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.57 

Modest predictability

F5 Networks has modest predictability. Overlapping area represents the amount of predictability between F5 Networks time series from April 23, 2018 to May 8, 2018 and May 8, 2018 to May 23, 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 price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current F5 Networks price fluctuation can be explain by its past prices.
Correlation Coefficient 0.57
Spearman Rank Test 0.42
Price Variance 2.03
Lagged Price Variance 22.37

F5 Networks lagged returns against current returns

 Current and Lagged Values 
      Timeline 

F5 Networks regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

F5 Networks Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Fundamental Analysis module to view fundamental data based on most recent published financial statements.