Digimarc Backtesting

Digimarc Corporation -- USA Stock  

USD 36.7  0.85  2.37%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Digimarc Corporation and determine expected loss or profit from investing in Digimarc over given investment horizon. Additionally see Digimarc Hype Analysis, Digimarc Correlation, Digimarc Valuation, Digimarc Volatility as well as analyze Digimarc Alpha and Beta and Digimarc Performance
Investment Horizon     30 Days    Login   to change
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Backtest

Digimarc 'What if' Analysis

September 24, 2017
0.00
No Change 0.00  0.0%
In 30 days
October 24, 2017
0.00
If you would invest  0.00  in Digimarc on September 24, 2017 and sell it all today you would earn a total of 0.00 from holding Digimarc Corporation or generate 0.0% return on investment in Digimarc over 30 days. Digimarc is related to or competes with VASCO Data, Dell Technologies, and Verint Systems. It develops intellectual property to differentiate solutions and technology mitigate infringement risks and develop oppo...

Digimarc Upside/Downside Indicators

  

Digimarc Market Premium Indicators

Digimarc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Digimarc regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Digimarc Backtested Returns

Macroaxis considers Digimarc not too volatile given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.2205 which denotes Digimarc had 0.2205% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. By reviewing Digimarc technical indicators you can presently evaluate if the expected return of 0.5246% is justified by implied risk. Please utilize Digimarc Coefficient Of Variation of 387.75, Mean Deviation of 1.38 and Downside Deviation of 2.61 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Digimarc holds performance score of 14. The firm shows Beta (market volatility) of -1.277 which denotes to the fact that as returns on market increase, returns on owning Digimarc are expected to decrease by larger amounts. On the other hand, during market turmoil, Digimarc is expected to significantly outperform it.. Although it is vital to follow to Digimarc historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patternss. The philosophy towards 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. We have found twenty-one technical indicators for Digimarc Corporation which you can use to evaluate performance of the firm. Please utilizes Digimarc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to make a quick decision on weather Digimarc price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.14 

Insignificant predictability

Digimarc Corporation has insignificant predictability. Overlapping area represents the amount of predictability between Digimarc time series from September 24, 2017 to October 9, 2017 and October 9, 2017 to October 24, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Digimarc price movement. The serial correlation of 0.14 indicates that less than 14.0% of current Digimarc price fluctuation can be explain by its past prices.
Correlation Coefficient 0.14
Spearman Rank Test 0.17
Price Variance 0.06
Lagged Price Variance 2.33

Digimarc Lagged Returns

 Regressed Prices 
      Timeline 

Digimarc Performance vs DOW

The median price of Digimarc for the period between Sun, Sep 24, 2017 and Tue, Oct 24, 2017 is 36.35 with a coefficient of variation of 4.56. The daily time series for the period is distributed with a sample standard deviation of 1.62, arithmetic mean of 35.51, and mean deviation of 1.34. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline