VASCO Data Risk Analysis And Volatility Evaluation

VDSI -- USA Stock  

USD 21.80  7.95  57.40%

Macroaxis considers VASCO Data to be unknown risk. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.7071 which indicates VASCO Data Security had -0.7071% of return per unit of standard deviation over the last 1 month. Macroaxis approach into measuring 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. VASCO Data Security International exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VASCO Data Risk Adjusted Performance of 0.08 and Market Risk Adjusted Performance of 0.57 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

VASCO Data Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VASCO Data will likely underperform.
One Month Beta |Analyze VASCO Data Security Demand Trend
Check current 30 days VASCO Data correlation with market (DOW)
β = 2.8341
VASCO Data Large BetaVASCO Data Security Beta Legend

VASCO Data Security Technical Analysis

Transformation
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VASCO Data Projected Return Density Against Market

Given the investment horizon of 30 days, the stock has beta coefficient of 2.8341 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, VASCO Data will likely underperform. Additionally, VASCO Data Security International has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of VASCO Data is -141.42. The daily returns are destributed with a variance of 664.95 and standard deviation of 25.79. The mean deviation of VASCO Data Security International is currently at 18.23. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=1.79
β
Beta against DOW=2.83
σ
Overall volatility
=25.79
Ir
Information ratio =0.22

VASCO Data Return Volatility

VASCO Data Security International inherits 25.7867% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4495% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VASCO Data Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

VASCO Data Investment Opportunity

VASCO Data Security International has a volatility of 25.79 and is 57.31 times more volatile than DOW. 96% of all equities and portfolios are less risky than VASCO Data. Compared to the overall equity markets, volatility of historical daily returns of VASCO Data Security International is higher than 96 (%) of all global equities and portfolios over the last 30 days. Use VASCO Data Security International to enhance returns of your portfolios. The stock experiences very speculative upward sentiment.. Check odds of VASCO Data to be traded at $27.25 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VASCO Data will likely underperform.

VASCO Data correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding VASCO Data Security Internatio and equity matching DJI index in the same portfolio.

VASCO Data Volatility Indicators

VASCO Data Security International Current Risk Indicators

Also please take a look at World Market Map. Please also try Portfolio Backtesting module to avoid under-diversification and over-optimization by backtesting your portfolios.
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