F5 Networks Risk Analysis And Volatility Evaluation

FFIV -- USA Stock  

USD 193.24  1.61  0.83%

Macroaxis considers F5 Networks not too risky given 1 month investment horizon. F5 Networks retains Efficiency (Sharpe Ratio) of 0.3976 which denotes F5 Networks had 0.3976% 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 technical indicators for F5 Networks which you can use to evaluate future volatility of the entity. Please utilize F5 Networks Variance of 0.3114, Market Risk Adjusted Performance of 1.5 and Coefficient Of Variation of 230.59 to check if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

F5 Networks Market Sensitivity

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.
One Month Beta |Analyze F5 Networks Demand Trend
Check current 30 days F5 Networks correlation with market (DOW)
β = 0.1553
F5 Networks Small BetaF5 Networks Beta Legend

F5 Networks Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. F5 Networks 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.

F5 Networks Projected Return Density Against Market

Given the investment horizon of 30 days, F5 Networks has beta of 0.1553 suggesting as returns on market go up, F5 Networks average returns are expected to increase less than the benchmark. However during bear market, the loss on holding F5 Networks will be expected to be much smaller as well. Moreover, F5 Networks has an alpha of 0.2062 implying that it can potentially generate 0.2062% 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 251.49. The daily returns are destributed with a variance of 0.31 and standard deviation of 0.56. The mean deviation of F5 Networks is currently at 0.46. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.21
β
Beta against DOW=0.16
σ
Overall volatility
=0.56
Ir
Information ratio =0.12

F5 Networks Return Volatility

F5 Networks inherits 0.5585% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.444% 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

Barely shadows market

Investment Outlook

F5 Networks Investment Opportunity

F5 Networks has a volatility of 0.56 and is 1.27 times more volatile than DOW. 5% 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 is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use F5 Networks to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of F5 Networks to be traded at $189.38 in 30 days. 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.

F5 Networks correlation with market

Average 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.

F5 Networks Volatility Indicators

F5 Networks Current Risk Indicators

Additionally see Investing Opportunities. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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