Digimarc Risk Analysis

Digimarc Corporation -- USA Stock  

USD 36.7  0.25  0.69%

Macroaxis considers Digimarc not too volatile given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.2294 which denotes Digimarc had 0.2294% 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 0.5135% is justified by implied risk. Please utilize Digimarc Coefficient Of Variation of 426.24, Mean Deviation of 1.41 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 market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Digimarc will likely underperform.
One Month Beta |Analyze Digimarc Demand Trend
Check current 30 days Digimarc correlation with market (DOW)
β = 2.6092
Digimarc Large BetaDigimarc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 2.6092 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, Digimarc will likely underperform. Moreover, Digimarc Corporation has an alpha of 0.2034 implying that it can potentially generate 0.2034% 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 435.91. The daily returns are destributed with a variance of 5.01 and standard deviation of 2.24. The mean deviation of Digimarc Corporation is currently at 1.37. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.2 
βBeta against DOW= 2.61 
σ
Overall volatility
= 2.24 
 IrInformation ratio = 0.18 

Actual Return Volatility

Digimarc Corporation inherits 2.2382% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2303% 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

Below average

30 Days Economic Sensitivity

Hypersensitive to market

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 2.24 and is 9.74 times more volatile than DOW. 21% 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 21 (%) of all global equities and portfolios over the last 30 days. Use Digimarc Corporation to enhance returns of your portfolios. The stock experiences moderate upward volatility. Check odds of Digimarc to be traded at $40.37 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Digimarc will likely underperform.

Digimarc correlation with market

Modest 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.