F5 Networks Risk Analysis

F5 Networks Inc -- USA Stock  

USD 135.88  2.73  2.05%

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks Inc retains Efficiency (Sharpe Ratio) of 0.4473 which denotes F5 Networks Inc had 0.4473% 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. By examining F5 Networks Inc technical indicators you can at this moment evaluate if the expected return of 0.5623% is justified by implied risk. Please utilize F5 Networks Inc Variance of 1.53, Market Risk Adjusted Performance of 0.2547 and Coefficient Of Variation of 278.01 to check if our risk estimates are consistent with your expectations.
Investment Horizon     30 Days    Login   to change

F5 Networks Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, F5 Networks will likely underperform.
One Month Beta |Analyze F5 Networks Inc Demand Trend
Check current 30 days F5 Networks correlation with market (DOW)
β = 1.7762
F5 Networks Large BetaF5 Networks Inc Beta Legend

F5 Networks Inc Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. F5 Networks Inc Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 1.7762 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, F5 Networks will likely underperform. Moreover, F5 Networks Inc has an alpha of 0.1381 implying that it can potentially generate 0.1381% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of F5 Networks is 223.56. The daily returns are destributed with a variance of 1.58 and standard deviation of 1.26. The mean deviation of F5 Networks Inc is currently at 1.0. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.14
βBeta against DOW=1.78
σ
Overall volatility
=1.26
 IrInformation ratio =0.22

Actual Return Volatility

F5 Networks Inc inherits 1.257% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5042% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

F5 Networks Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Very susceptible to market

Total Liabilities

F5 Networks Inc Total Liabilities History

Total Liabilities

Largest Trends

F5 Networks Largest Period Trend
 122.41 
  
 122.02 
0.39  0.32%
Lowest period price (30 days)
 133.14 
  
 135.88 
2.74  2.06%
Highest period price (30 days)

Investment Outlook

F5 Networks Investment Opportunity
F5 Networks Inc has a volatility of 1.26 and is 2.52 times more volatile than DOW. 11% of all equities and portfolios are less risky than F5 Networks. Compared to the overall equity markets, volatility of historical daily returns of F5 Networks Inc is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use F5 Networks Inc to enhance returns of your portfolios. The stock experiences unexpected upward trend. Watch out for market signals. Check odds of F5 Networks to be traded at $163.06 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, F5 Networks will likely underperform.

F5 Networks correlation with market

Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding F5 Networks Inc and equity matching DJI index in the same portfolio.

Volatility Indicators

F5 Networks Current Risk Indicators