Macroaxis considers Digimarc not too volatile given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.224 which denotes Digimarc had 0.224% 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 0.5023% is justified by implied risk. Please utilize Digimarc Coefficient Of Variation of 436.53, Mean Deviation of 1.42 and Downside Deviation of 2.41 to check if our risk estimates are consistent with your expectations.
|Investment Horizon||30 Days Login to change|
Digimarc Market Sensitivity
|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.One Month Beta |Analyze Digimarc Demand TrendCheck current 30 days Digimarc correlation with market (DOW)|
β = -1.5521
Projected Return Density Against MarketGiven the investment horizon of 30 days, Digimarc Corporation has beta of -1.5521 suggesting as returns on its benchmark rise, returns on holding Digimarc Corporation are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Digimarc is expected to outperform its benchmark. Moreover, Digimarc Corporation has an alpha of 0.7075 implying that it can potentially generate 0.7075% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Digimarc is 446.4. The daily returns are destributed with a variance of 5.03 and standard deviation of 2.24. The mean deviation of Digimarc Corporation is currently at 1.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23