F5 Networks Backtesting

FFIV -- USA Stock  

USD 180.68  2.06  1.15%

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

F5 Networks 'What if' Analysis

July 21, 2018
No Change 0.00  0.0%
In 31 days
August 20, 2018
If you would invest  0.00  in F5 Networks on July 21, 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 Broadridge Financial, CA, Gartner, Workday, CDK Global, and . F5 Networks, Inc. develops, markets, and sells application delivery networking products that optimize the security, perf...

F5 Networks Upside/Downside Indicators

Downside Deviation1.22
Information Ratio0.1227
Maximum Drawdown3.94
Value At Risk1.61
Potential Upside1.59

F5 Networks Market Premium Indicators

Risk Adjusted Performance0.1308
Jensen Alpha0.1524
Total Risk Alpha0.0393
Sortino Ratio0.1045
Treynor Ratio0.3027

F5 Networks Backtested Returns

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks retains Efficiency (Sharpe Ratio) of 0.2093 which denotes F5 Networks had 0.2093% 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 utilize F5 Networks Standard Deviation of 1.04, Market Risk Adjusted Performance of 0.3127 and Downside Deviation of 1.22 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 F5 Networks holds performance score of 13. The corporation owns Beta (Systematic Risk) of 0.7513 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 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 technical indicators you can at this moment evaluate if the expected return of 0.223% will be sustainable into the future. Please utilizes F5 Networks Coefficient Of Variation as well as the relationship between Treynor Ratio and Semi Variance to make a quick decision on weather F5 Networks current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.10 

Insignificant predictability

F5 Networks has insignificant predictability. Overlapping area represents the amount of predictability between F5 Networks time series from July 21, 2018 to August 5, 2018 and August 5, 2018 to August 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 price movement. The serial correlation of 0.1 indicates that less than 10.0% of current F5 Networks price fluctuation can be explain by its past prices.
Correlation Coefficient 0.1
Spearman Rank Test 0.15
Price Variance 2.93
Lagged Price Variance 4.28

F5 Networks lagged returns against current returns

 Current and Lagged Values 

F5 Networks regressed lagged prices vs. current prices

 Current vs Lagged Prices 

F5 Networks Lagged Returns

 Regressed Prices 

Current Sentiment - FFIV

F5 Networks Investor Sentiment
Majority of Macroaxis users are currently bullish on F5 Networks. What is your opinion about investing in F5 Networks? Are you bullish or bearish?
98% Bullish
2% Bearish

Build Optimal Portfolios

Align your risk with return expectations
Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.