Digimarc Risk Analysis And Volatility Evaluation

DMRC -- USA Stock  

USD 31.95  1.40  4.58%

Digimarc is not very risky given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.3717 which denotes Digimarc had 0.3717% of return per unit of risk over the last 1 month. Our philosophy towards predicting risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.1923% are justified by taking the suggested risk. Use Digimarc Coefficient Of Variation of 294.9, Mean Deviation of 2.4 and Downside Deviation of 3.07 to evaluate company specific risk that cannot be diversified away.
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 = -0.5963
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.

Digimarc Projected Return Density Against Market

Given the investment horizon of 30 days, Digimarc Corporation has beta of -0.5963 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. In addition to that, Digimarc Corporation has an alpha of 1.1962 implying that it can potentially generate 1.1962% 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 269.01. The daily returns are destributed with a variance of 10.29 and standard deviation of 3.21. The mean deviation of Digimarc Corporation is currently at 2.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=1.20
β
Beta against DOW=0.6
σ
Overall volatility
=3.21
Ir
Information ratio =0.29

Digimarc Return Volatility

Digimarc Corporation inherits 3.2073% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4208% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Digimarc Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slightly opposite to market

Investment Outlook

Digimarc Investment Opportunity

Digimarc Corporation has a volatility of 3.21 and is 7.64 times more volatile than DOW. 29% 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 29 (%) of all global equities and portfolios over the last 30 days. Use Digimarc Corporation to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of Digimarc to be traded at $39.94 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.

Digimarc Volatility Indicators

Digimarc Corporation Current Risk Indicators

Additionally see Investing Opportunities. Please also try Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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