Verint Systems Risk Analysis

Verint Systems Inc -- USA Stock  

USD 42.4  0.3  0.7%

We consider Verint Systems not too risky. Verint Systems Inc owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1936 which indicates Verint Systems Inc had 0.1936% 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 technical indicators for Verint Systems Inc which you can use to evaluate future volatility of the company. Please validate Verint Systems Downside Deviation of 0.5997, Standard Deviation of 1.01 and Risk Adjusted Performance of 0.0585 to confirm if risk estimate we provide are consistent with the epected return of 0.1935%.
Investment Horizon     30 Days    Login   to change

Verint Systems Market Sensitivity

As returns on market increase, returns on owning Verint Systems are expected to decrease at a much smaller rate. During bear market, Verint Systems is likely to outperform the market.
One Month Beta |Analyze Verint Systems Inc Demand Trend
Check current 30 days Verint Systems correlation with market (DOW)
β = -0.5681
Verint Systems Almost negative betaVerint Systems Inc Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Verint Systems Inc has beta of -0.5681 . This entails as returns on benchmark increase, returns on holding Verint Systems are expected to decrease at a much smaller rate. During bear market, however, Verint Systems Inc is likely to outperform the market. Moreover, Verint Systems Inc has an alpha of 0.2851 implying that it can potentially generate 0.2851% 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 516.6. The daily returns are destributed with a variance of 1.0 and standard deviation of 1.0. The mean deviation of Verint Systems Inc is currently at 0.67. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.29 
βBeta against DOW=(0.57) 
σ
Overall volatility
= 1 
 IrInformation ratio = 0.0897 

Actual Return Volatility

Verint Systems Inc inherits 0.9996% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2303% 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

Slightly opposite to market

Total Debt

Verint Systems Inc Total Debt History

Total Debt

Largest Trends

Verint Systems Largest Period Trend

Investment Outlook

Verint Systems Investment Opportunity
Verint Systems Inc has a volatility of 1.0 and is 4.35 times more volatile than DOW. 9% 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 Inc is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use Verint Systems Inc 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 $41.55 in 30 days. As returns on market increase, returns on owning Verint Systems are expected to decrease at a much smaller rate. During bear market, Verint Systems is likely to outperform the market.

Verint Systems correlation with market

Good 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.

Volatility Indicators

Verint Systems Current Risk Indicators