Digimarc Backtesting

Digimarc Corporation -- USA Stock  

USD 37  0.45  1.23%

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

Digimarc 'What if' Analysis

December 23, 2017
No Change 0.00  0.0%
In 31 days
January 22, 2018
If you would invest  0.00  in Digimarc on December 23, 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 

Digimarc regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Digimarc Backtested Returns

We consider Digimarc not too volatile. Digimarc secures Sharpe Ratio (or Efficiency) of 0.0637 which denotes Digimarc had 0.0637% 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. We have found twenty-one technical indicators for Digimarc Corporation which you can use to evaluate future volatility of the firm. Please confirm Digimarc Coefficient Of Variation of 55015.91, Mean Deviation of 1.24 and Downside Deviation of 1.95 to check if risk estimate we provide are consistent with the epected return of 0.1241%. Digimarc has performance score of 4 on a scale of 0 to 100. The firm shows Beta (market volatility) of 1.8147 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Digimarc will likely underperform.. Although it is extremely important to respect Digimarc historical returns, it is better to be realistic regarding the information on equity current trending patterns. 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. By reviewing Digimarc technical indicators you can presently evaluate if the expected return of 0.1241% will be sustainable into the future. Digimarc right now shows a risk of 1.9465%. Please confirm Digimarc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to decide if Digimarc will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.6) 

Good reverse predictability

Digimarc Corporation has good reverse predictability. Overlapping area represents the amount of predictability between Digimarc time series from December 23, 2017 to January 7, 2018 and January 7, 2018 to January 22, 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 -0.6 indicates that roughly 60.0% of current Digimarc price fluctuation can be explain by its past prices. Given that Digimarc Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Digimarc for similar time interval.
Correlation Coefficient -0.6
Spearman Rank Test 0.27
Price Variance 0.56
Lagged Price Variance 0.41

Digimarc Lagged Returns

 Regressed Prices 

Digimarc Performance vs DOW

The median price of Digimarc for the period between Sat, Dec 23, 2017 and Mon, Jan 22, 2018 is 37.1 with a coefficient of variation of 2.43. The daily time series for the period is distributed with a sample standard deviation of 0.9, arithmetic mean of 36.99, and mean deviation of 0.71. The Stock received some media coverage during the period.
Price Growth (%)  
Digimarc exotic insider transaction detected01/19/2018