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 TrendCheck current 30 days Digimarc correlation with market (DOW)|
β = 2.6092
Projected Return Density Against MarketGiven 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).
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