Macroaxis considers VASCO Data to be not very risky. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1246 which indicates VASCO Data Security had -0.1246% 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 Inc 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
0.048334 and Market Risk Adjusted Performance of 0.10 to confirm risk estimate we provide.
|Time Horizon||30 Days Login to change|
VASCO Data Market Sensitivity
|As returns on market increase, VASCO Data returns are expected to increase less than the market. However during bear market, the loss on holding VASCO Data will be expected to be smaller as well.One Month Beta |Analyze VASCO Data Security Demand TrendCheck current 30 days VASCO Data correlation with market (DOW)|
β = 0.5276
VASCO Data Security Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, VASCO Data has beta of 0.5276 . This entails as returns on market go up, VASCO Data average returns are expected to increase less than the benchmark. However during bear market, the loss on holding VASCO Data Security International Inc will be expected to be much smaller as well. Moreover, VASCO Data Security International Inc has an alpha of 0.0122 implying that it can potentially generate 0.0122% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of VASCO Data is -802.6. The daily returns are destributed with a variance of 2.71 and standard deviation of 1.65. The mean deviation of VASCO Data Security International Inc is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71