VASCO Data Risk Analysis

VASCO Data Security International Inc -- USA Stock  

USD 13.99  0.01  0.0714%

Macroaxis considers VASCO Data not very volatile given 1 month investment horizon. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1404 which indicates VASCO Data Security had 0.1404% of return per unit of standard deviation over the last 1 month. Our approach into measuring 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-eight technical indicators for VASCO Data Security International Inc which you can use to evaluate future volatility of the entity. Please operate VASCO Data Risk Adjusted Performance of 0.0579, Market Risk Adjusted Performance of 0.1751 and Downside Deviation of 1.65 to confirm if our risk estimates are consistent with your expectations.
Investment 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 = 1.1566
VASCO Data Large BetaVASCO Data Security Beta Legend

VASCO Data Security Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. VASCO Data Security 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, the stock has beta coefficient of 1.1566 . 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 Inc 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 712.0. The daily returns are destributed with a variance of 4.02 and standard deviation of 2.0. The mean deviation of VASCO Data Security International Inc is currently at 1.61. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=0.0021
βBeta against DOW=1.16
σ
Overall volatility
=2
 IrInformation ratio =0.0121

Actual Return Volatility

VASCO Data Security International Inc inherits 2.0043% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5042% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VASCO Data Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Almost mirrors market

Total Debt

VASCO Data Security Total Debt History

Total Debt

Largest Trends

VASCO Data Largest Period Trend

Investment Outlook

VASCO Data Investment Opportunity
VASCO Data Security International Inc has a volatility of 2.0 and is 4.0 times more volatile than DOW. 18% 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 Inc is lower than 18 (%) of all global equities and portfolios over the last 30 days. Use VASCO Data Security International Inc to protect against small markets fluctuations. The stock experiences normal downward trend and little activity. Check odds of VASCO Data to be traded at $13.85 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

Modest 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.