Macroaxis considers VASCO Data not very volatile given 1 month investment horizon. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.271 which indicates VASCO Data Security had 0.271% 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. By examining VASCO Data Security technical indicators you can now evaluate if the expected return of 0.5384% is justified by implied risk. Please operate VASCO Data Risk Adjusted Performance of 0.0804, Market Risk Adjusted Performance of 0.2159 and Downside Deviation of 1.58 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 TrendCheck current 30 days VASCO Data correlation with market (DOW)|
β = 2.4479
Projected Return Density Against MarketGiven the investment horizon of 30 days, the stock has beta coefficient of 2.4479 . 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. Moreover, VASCO Data Security International Inc has an alpha of 0.0549 implying that it can potentially generate 0.0549% 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 368.95. The daily returns are destributed with a variance of 3.95 and standard deviation of 1.99. The mean deviation of VASCO Data Security International Inc is currently at 1.41. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27