Digimarc Risk Analysis And Volatility Evaluation

DMRC -- USA Stock  

USD 31.35  1.00  3.29%

Macroaxis considers Digimarc not too volatile given 1 month investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.106 which denotes Digimarc had 0.106% 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. We have found twenty technical indicators for Digimarc Corporation which you can use to evaluate future volatility of the firm. Please utilize Digimarc Coefficient Of Variation of 1131.81, Mean Deviation of 1.96 and Downside Deviation of 2.5 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Digimarc Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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 has beta of 0.0 suggesting unless we do not have required data, the returns on DOW and Digimarc are completely uncorrelated. Furthermore, Digimarc CorporationIt does not look like Digimarc alpha can have any bearing on the equity current valuation.
Given the investment horizon of 30 days, the coefficient of variation of Digimarc is 943.1. The daily returns are destributed with a variance of 7.17 and standard deviation of 2.68. The mean deviation of Digimarc Corporation is currently at 2.01. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.68
Ir
Information ratio =0.00

Actual Return Volatility

Digimarc Corporation inherits 2.6774% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% 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

Market Insensitive

Investment Outlook

Digimarc Investment Opportunity
Digimarc Corporation has a volatility of 2.68 and is 9.223372036854776E16 times more volatile than DOW. 24% 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 24 (%) of all global equities and portfolios over the last 30 days.

Total Liabilities

Digimarc Total Liabilities History

Total Liabilities

Volatility Indicators

Digimarc Current Risk Indicators
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