Facebook Backtesting

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FB -- USA Stock  


With this equity back-testing module your can estimate the performance of a buy and hold strategy of Facebook and determine expected loss or profit from investing in Facebook over given investment horizon. Please check Facebook Hype Analysis, Facebook Correlation, Facebook Valuation, Facebook Volatility as well as analyze Facebook Alpha and Beta and Facebook Performance.

Facebook 'What if' Analysis

November 25, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 23, 2020
If you would invest  0.00  in Facebook on November 25, 2019 and sell it all today you would earn a total of 0.00 from holding Facebook or generate 0.0% return on investment in Facebook over 90 days. Facebook is related to or competes with Douyu International, Groupon, Spark Networks, IQIYI, IACInterActiveCorp, EverQuote, and Facebook. Facebook, Inc. develops products that enable people to connect and share with friends and family through mobile devices,...

Facebook Upside/Downside Indicators

Downside Deviation1.84
Information Ratio0.0253
Maximum Drawdown8.63
Value At Risk(2.72)
Potential Upside2.07

Facebook Market Premium Indicators

Risk Adjusted Performance0.0532
Jensen Alpha0.0832
Total Risk Alpha(0.001245)
Sortino Ratio0.0204
Treynor Ratio(1.91)

Facebook Backtested Returns

We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.0609 which denotes the organization had 0.0609% of return per unit of standard deviation over the last 3 months. Our philosophy in 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 Facebook which you can use to evaluate future volatility of the firm. Please confirm Facebook Mean Deviation of 1.02, Semi Deviation of 1.71 and Downside Deviation of 1.84 to check if risk estimate we provide are consistent with the epected return of 0.0918%. Facebook has performance score of 4 on a scale of 0 to 100. The firm shows Beta (market volatility) of -0.0425 which denotes to the fact that as returns on market increase, returns on owning Facebook are expected to decrease at a much smaller rate. During bear market, Facebook is likely to outperform the market. Although it is extremely important to respect Facebook historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in 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 reviewing Facebook technical indicators you can presently evaluate if the expected return of 0.0918% will be sustainable into the future. Facebook right now shows a risk of 1.51%. Please confirm Facebook Variance, Maximum Drawdown and the relationship between Coefficient Of Variation and Jensen Alpha to decide if Facebook will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 
correlation synergy

Poor reverse predictability

Facebook has poor reverse predictability. Overlapping area represents the amount of predictability between Facebook time series from November 25, 2019 to January 9, 2020 and January 9, 2020 to February 23, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Facebook price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Facebook price fluctuation can be explain by its past prices. Given that Facebook has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Facebook for similar time interval.
Correlation Coefficient-0.33
Spearman Rank Test-0.66
Residual Average0.0
Price Variance30.6

Facebook lagged returns against current returns

 Current and Lagged Values 

Facebook regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Facebook Lagged Returns

 Regressed Prices 

Current Sentiment - FB

Facebook Investor Sentiment

Nearly all of Macroaxis users are currently bullish on Facebook. What is your opinion about investing in Facebook? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please check Facebook Hype Analysis, Facebook Correlation, Facebook Valuation, Facebook Volatility as well as analyze Facebook Alpha and Beta and Facebook Performance. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.