Digimarc Backtesting

Digimarc Corporation -- USA Stock  

USD 28.35  0.60  2.07%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Digimarc 'What if' Analysis

February 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 21, 2018
0.00
If you would invest  0.00  in Digimarc on February 20, 2018 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 60 days. Digimarc is related to or competes with VASCO Data, Dell Technologies, Violin Memory, Verint Systems, Ebix, and ELEC IMAGING. Digimarc Corporation provides media identification and management solutions to commercial entities and government custom...

Digimarc Upside/Downside Indicators

Information Ratio0.028252
Maximum Drawdown14.38
Value At Risk3.23
Potential Upside4.39
  

Digimarc Market Premium Indicators

Risk Adjusted Performance0.057516
Jensen Alpha0.12
Total Risk Alpha0.057406
Treynor Ratio2.05

Digimarc Backtested Returns

Macroaxis considers Digimarc to be not very risky. Digimarc secures Sharpe Ratio (or Efficiency) of -0.0466 which denotes Digimarc had -0.0466% of return per unit of risk over the last 2 months. Macroaxis philosophy towards predicting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Digimarc Corporation exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Digimarc Coefficient Of Variation of 2,723 and Mean Deviation of 2.16 to check risk estimate we provide. Macroaxis gives Digimarc performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0614 which denotes to the fact that as returns on market increase, Digimarc returns are expected to increase less than the market. However during bear market, the loss on holding Digimarc will be expected to be smaller as well.. Even though it is essential to pay attention to Digimarc historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Digimarc Corporation exposes twenty-one different technical indicators which can help you to evaluate its performance. Digimarc has expected return of -0.1486%. Please be advised to confirm Digimarc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if Digimarc past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.34 

Below average predictability

Digimarc Corporation has below average predictability. Overlapping area represents the amount of predictability between Digimarc time series from February 20, 2018 to March 22, 2018 and March 22, 2018 to April 21, 2018. 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 0.34 indicates that nearly 34.0% of current Digimarc price fluctuation can be explain by its past prices.
Correlation Coefficient 0.34
Spearman Rank Test -0.02
Price Variance 2.33
Lagged Price Variance 2.07

Digimarc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Digimarc regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Digimarc Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - DMRC

Digimarc Investor Sentiment
Most of Macroaxis users are currently bullish on Digimarc Corporation. What is your opinion about investing in Digimarc Corporation? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
Additionally see Digimarc Hype Analysis, Digimarc Correlation, Digimarc Valuation, Digimarc Volatility as well as analyze Digimarc Alpha and Beta and Digimarc Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .