Digimarc Risk Analysis

Digimarc Corporation -- USA Stock  

USD 35.83  0.37  1.02%

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 Trend
Check current 30 days Digimarc correlation with market (DOW)
β = -0.0291
Digimarc Almost negative betaDigimarc Beta Legend

Digimarc Technical Analysis

Transformation
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 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.12
βBeta against DOW=0.03
σ
Overall volatility
=1.84
 IrInformation ratio =0.03

Actual Return Volatility

Digimarc Corporation inherits 1.8358% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5042% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Digimarc Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Indifferent to market move

Total Liabilities

Digimarc Total Liabilities History

Total Liabilities

Largest Trends

Digimarc Largest Period Trend

Investment Outlook

Digimarc Investment Opportunity
Digimarc Corporation has a volatility of 1.84 and is 3.68 times more volatile than DOW. 17% 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 17 (%) of all global equities and portfolios over the last 30 days. Use Digimarc Corporation to protect against small markets fluctuations. The stock experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Digimarc to be traded at $34.76 in 30 days. 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.

Digimarc correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Digimarc Corp. and equity matching DJI index in the same portfolio.