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 13, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 12, 2019
If you would invest  0.00  in Facebook on September 13, 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 Spark Networks, Phoenix New, Groupon, EverQuote, IACInterActiveCorp, and Gaia. Facebook, Inc. provides various products to connect and share through mobile devices, personal computers, and other surf...

Facebook Upside/Downside Indicators

Downside Deviation1.35
Information Ratio0.0131
Maximum Drawdown6.97
Value At Risk(2.38)
Potential Upside2.31

Facebook Market Premium Indicators

Risk Adjusted Performance0.0394
Jensen Alpha0.0208
Total Risk Alpha(0.036734)
Sortino Ratio0.0126
Treynor Ratio0.069

Facebook Backtested Returns

We consider Facebook very steady. Facebook secures Sharpe Ratio (or Efficiency) of 0.0654 which denotes the organization had 0.0654% 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 1.28, Mean Deviation of 0.9628 and Downside Deviation of 1.35 to check if risk estimate we provide are consistent with the epected return of 0.0865%. Facebook has performance score of 4 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.9188 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 0.0865% will be sustainable into the future. Facebook right now shows a risk of 1.32%. 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 0.25 
correlation synergy

Poor predictability

Facebook has poor predictability. Overlapping area represents the amount of predictability between Facebook time series from September 13, 2019 to October 28, 2019 and October 28, 2019 to December 12, 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 0.25 indicates that over 25.0% of current Facebook price fluctuation can be explain by its past prices.
Correlation Coefficient0.25
Spearman Rank Test0.1
Residual Average0.0
Price Variance18.43

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

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
Search macroaxis.com