Facebook Backtesting

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. Additionally see Facebook Hype Analysis, Facebook Correlation, Facebook Valuation, Facebook Volatility as well as analyze Facebook Alpha and Beta and Facebook Performance.
Horizon     30 Days    Login   to change

Facebook 'What if' Analysis

September 15, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 14, 2019
If you would invest  0.00  in Facebook on September 15, 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 IQIYI, Spark Networks, Phoenix New, Douyu International, IACInterActiveCorp, and Jianpu Technology. Facebook, Inc. provides various products to connect and share through mobile devices, personal computers, and other surf...

Facebook Upside/Downside Indicators

Downside Deviation1.37
Information Ratio0.0055
Maximum Drawdown6.97
Value At Risk(2.38)
Potential Upside2.31

Facebook Market Premium Indicators

Risk Adjusted Performance0.0336
Jensen Alpha0.0106
Total Risk Alpha(0.044489)
Sortino Ratio0.0053
Treynor Ratio0.0555

Facebook Backtested Returns

We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.0548 which denotes the organization had 0.0548% 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 Semi Deviation of 1.3, Downside Deviation of 1.37 and Mean Deviation of 0.9749 to check if risk estimate we provide are consistent with the epected return of 0.0725%. Facebook has performance score of 3 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9246 which denotes to the fact that Facebook returns are very sensitive to returns on the market. as market goes up or down, Facebook is expected to follow. 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 0.0694% will be sustainable into the future. Facebook right now shows a risk of 1.23%. 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 0.12 
correlation synergy

Insignificant predictability

Facebook has insignificant predictability. Overlapping area represents the amount of predictability between Facebook time series from September 15, 2019 to October 30, 2019 and October 30, 2019 to December 14, 2019. 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 0.12 indicates that less than 12.0% of current Facebook price fluctuation can be explain by its past prices.
Correlation Coefficient0.12
Spearman Rank Test0.31
Residual Average0.0
Price Variance15.28

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 

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Additionally see Facebook Hype Analysis, Facebook Correlation, Facebook Valuation, Facebook Volatility as well as analyze Facebook Alpha and Beta and Facebook Performance. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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