F5 Networks Backtesting

FFIV -- USA Stock  

USD 183.24  4.33  2.42%

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.
Horizon     30 Days    Login   to change

F5 Networks 'What if' Analysis

October 14, 2018
No Change 0.00  0.0%
In 31 days
November 13, 2018
If you would invest  0.00  in F5 Networks on October 14, 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 BlackLine, CA, Determine, Dell Technologies, EVO Payments, EVERTEC, and F5 Networks. F5 Networks, Inc. develops, markets, and sells application delivery networking products that optimize the security, perf...

F5 Networks Upside/Downside Indicators

Downside Deviation2.42
Information Ratio0.0435
Maximum Drawdown9.29
Value At Risk3.29
Potential Upside4.23

F5 Networks Market Premium Indicators

Risk Adjusted Performance0.1377
Jensen Alpha0.2549
Total Risk Alpha0.07
Sortino Ratio0.0431
Treynor Ratio3.48

F5 Networks Backtested Returns

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks retains Efficiency (Sharpe Ratio) of 0.1487 which denotes F5 Networks had 0.1487% 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 stock 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 2.4, Market Risk Adjusted Performance of 3.49 and Downside Deviation of 2.42 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 F5 Networks holds performance score of 9. The corporation owns Beta (Systematic Risk) of 0.0769 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 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 0.3556% 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(0.17) 
correlation synergy

Insignificant reverse predictability

F5 Networks has insignificant reverse predictability. Overlapping area represents the amount of predictability between F5 Networks time series from October 14, 2018 to October 29, 2018 and October 29, 2018 to November 13, 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 -0.17 indicates that over 17.0% of current F5 Networks price fluctuation can be explain by its past prices. Given that F5 Networks 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-0.17
Spearman Rank Test0.45
Residual Average0.0
Price Variance35.9

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 

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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 Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
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