Macroaxis considers Digimarc to be not too volatile. Digimarc secures Sharpe Ratio (or Efficiency) of -0.0184 which denotes Digimarc had -0.0184% of return per unit of risk over the last 1 month. 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-eight 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 1505.54, Mean Deviation of 1.35 and Downside Deviation of 2.38 to check risk estimate we provide.
|Investment Horizon||30 Days Login to change|
Digimarc Market Sensitivity
|As returns on market increase, returns on owning Digimarc are expected to decrease at a much smaller rate. During bear market, Digimarc is likely to outperform the market.One Month Beta |Analyze Digimarc Demand TrendCheck current 30 days Digimarc correlation with market (DOW)|
β = -0.0291
Digimarc Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, Digimarc Corporation has beta of -0.0291 suggesting as returns on benchmark increase, returns on holding Digimarc are expected to decrease at a much smaller rate. During bear market, however, Digimarc Corporation is likely to outperform the market. Moreover, Digimarc Corporation has an alpha of 0.1198 implying that it can potentially generate 0.1198% 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 -5422.16. The daily returns are destributed with a variance of 3.37 and standard deviation of 1.84. The mean deviation of Digimarc Corporation is currently at 1.32. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5