F5 Networks Risk Analysis

F5 Networks Inc -- USA Stock  

USD 116.28  1.11  0.95%

We consider F5 Networks not too risky. F5 Networks Inc retains Efficiency (Sharpe Ratio) of 0.0216 which denotes F5 Networks Inc had 0.0216% 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 confirm F5 Networks Inc Standard Deviation of 1.53, Market Risk Adjusted Performance of 0.119 and Downside Deviation of 1.96 to check if risk estimate we provide are consistent with the epected return of 0.033%.
Investment 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 Inc Demand Trend
Check current 30 days F5 Networks correlation with market (DOW)
β = 0.211
F5 Networks Small BetaF5 Networks Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, F5 Networks has beta of 0.211 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 Inc will be expected to be much smaller as well. Additionally, F5 Networks Inc has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of F5 Networks is 4624.2. The daily returns are destributed with a variance of 2.33 and standard deviation of 1.53. The mean deviation of F5 Networks Inc is currently at 1.03. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
=(0.0032) 
βBeta against DOW= 0.21 
σ
Overall volatility
= 1.53 
 IrInformation ratio =(0.0662) 

Actual Return Volatility

F5 Networks Inc inherits 1.5256% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2355% 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

Close to average

30 Days Economic Sensitivity

Slowly supersedes market

Total Liabilities

F5 Networks Inc Total Liabilities History

Total Liabilities

Largest Trends

F5 Networks Largest Period Trend
 115.4 
  
 115.69 
0.29  0.25%
Lowest period price (30 days)
 120.81 
  
 123.72 
2.91  2.41%
Highest period price (30 days)

Investment Outlook

F5 Networks Investment Opportunity
F5 Networks Inc has a volatility of 1.53 and is 6.38 times more volatile than DOW. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use F5 Networks Inc 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 $113.95 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

Significant 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.