VASCO Data Risk Analysis And Volatility Evaluation

VDSI -- USA Stock  

USD 21.80  0.000001  0.00%

Macroaxis considers VASCO Data not too volatile given 1 month investment horizon. VASCO Data Security owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.3123 which indicates VASCO Data Security had 0.3123% 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-one technical indicators for VASCO Data Security International which you can use to evaluate future volatility of the entity. Please operate VASCO Data Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

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, VASCO Data has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and VASCO Data are completely uncorrelated. Furthermore, VASCO Data Security InternationalIt does not look like VASCO Data alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of VASCO Data is 320.19. The daily returns are destributed with a variance of 1.46 and standard deviation of 1.21. The mean deviation of VASCO Data Security International is currently at 0.7. 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
=1.21
Ir
Information ratio =0.08

Actual Return Volatility

VASCO Data Security International inherits 1.207% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5777% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VASCO Data Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

VASCO Data Investment Opportunity
VASCO Data Security International has a volatility of 1.21 and is 2.09 times more volatile than DOW. 11% 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 lower than 11 (%) of all global equities and portfolios over the last 30 days.

Total Debt

VASCO Data Security Total Debt History

Total Debt

Volatility Indicators

VASCO Data Current Risk Indicators
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