Verint Systems Risk Analysis And Volatility Evaluation

VRNT -- USA Stock  

USD 48.50  0.25  0.51%

Macroaxis considers Verint Systems not too risky given 1 month investment horizon. Verint Systems owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1692 which indicates Verint Systems had 0.1692% of return per unit of risk over the last 1 month. Our philosophy towards 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 Verint Systems which you can use to evaluate future volatility of the company. Please operate Verint Systems Semi Deviation of 1.08, Coefficient Of Variation of 567.42 and Risk Adjusted Performance of 0.1022 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Verint Systems Market Sensitivity

As returns on market increase, Verint Systems returns are expected to increase less than the market. However during bear market, the loss on holding Verint Systems will be expected to be smaller as well.
One Month Beta |Analyze Verint Systems Demand Trend
Check current 30 days Verint Systems correlation with market (DOW)
β = 0.4621
Verint Systems Small BetaVerint Systems Beta Legend

Verint Systems Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Verint Systems 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, Verint Systems has beta of 0.4621 . This entails as returns on market go up, Verint Systems average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Verint Systems will be expected to be much smaller as well. Moreover, Verint Systems has an alpha of 0.2214 implying that it can potentially generate 0.2214% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Verint Systems is 591.16. The daily returns are destributed with a variance of 2.81 and standard deviation of 1.68. The mean deviation of Verint Systems is currently at 1.36. For similar time horizon, the selected benchmark (DOW) has volatility of 0.54
α
Alpha over DOW
=0.22
β
Beta against DOW=0.46
σ
Overall volatility
=1.68
Ir
Information ratio =0.10

Actual Return Volatility

Verint Systems inherits 1.6769% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Verint Systems Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

Verint Systems Investment Opportunity
Verint Systems has a volatility of 1.68 and is 2.55 times more volatile than DOW. 15% of all equities and portfolios are less risky than Verint Systems. Compared to the overall equity markets, volatility of historical daily returns of Verint Systems is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use Verint Systems to protect against small markets fluctuations. The stock experiences moderate downward daily trend and can be a good diversifier. Check odds of Verint Systems to be traded at $47.53 in 30 days. As returns on market increase, Verint Systems returns are expected to increase less than the market. However during bear market, the loss on holding Verint Systems will be expected to be smaller as well.

Verint Systems correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding Verint Systems Inc and equity matching DJI index in the same portfolio.
Also please take a look at World Market Map. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.