Digimarc Risk Analysis And Volatility Evaluation

DMRC -- USA Stock  

USD 32.20  0.30  0.94%

Macroaxis considers Digimarc not too volatile given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.2461 which denotes Digimarc had 0.2461% 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 0.5999% is justified by implied risk. Please utilize Digimarc Coefficient Of Variation of 378.54, Mean Deviation of 1.79 and Downside Deviation of 2.23 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Digimarc Technical Analysis

The output start index for this execution was zero with a total number of output elements of seventeen. Digimarc Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, Digimarc has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Digimarc are completely uncorrelated. Furthermore, Digimarc CorporationIt does not look like Digimarc alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Given the investment horizon of 30 days, the coefficient of variation of Digimarc is 406.36. The daily returns are destributed with a variance of 5.94 and standard deviation of 2.44. The mean deviation of Digimarc Corporation is currently at 1.83. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.26

Actual Return Volatility

Digimarc Corporation inherits 2.4377% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.3896% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

Digimarc Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

Digimarc Investment Opportunity
Digimarc Corporation has a volatility of 2.44 and is 1.76 times more volatile than DOW. 22% of all equities and portfolios are less risky than Digimarc. Compared to the overall equity markets, volatility of historical daily returns of Digimarc Corporation is lower than 22 (%) of all global equities and portfolios over the last 30 days.

Total Liabilities

Digimarc Total Liabilities History

Total Liabilities

Volatility Indicators

Digimarc Current Risk Indicators
Additionally see Investing Opportunities. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.