F5 Networks Risk Analysis And Volatility Evaluation

FFIV -- USA Stock  

USD 182.50  1.22  0.67%

We consider F5 Networks not too risky. F5 Networks retains Efficiency (Sharpe Ratio) of 0.277 which denotes F5 Networks had 0.277% 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 Standard Deviation of 0.7137 and Downside Deviation of 0.7599 to check if risk estimate we provide are consistent with the epected return of 0.1957%.
 Time Horizon     30 Days    Login   to change

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.

Projected Return Density Against Market

Given the investment horizon of 30 days, F5 Networks has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and F5 Networks are completely uncorrelated. Furthermore, F5 NetworksIt does not look like F5 Networks alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of F5 Networks is 361.07. The daily returns are destributed with a variance of 0.5 and standard deviation of 0.71. The mean deviation of F5 Networks is currently at 0.56. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.71
Ir
Information ratio =0.37

Actual Return Volatility

F5 Networks inherits 0.7067% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6045% 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

Market Insensitive

Investment Outlook

F5 Networks Investment Opportunity
F5 Networks has a volatility of 0.71 and is 1.18 times more volatile than DOW. 6% 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 6 (%) of all global equities and portfolios over the last 30 days.

Total Liabilities

F5 Networks Total Liabilities History

Total Liabilities

Volatility Indicators

F5 Networks Current Risk Indicators
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