Digimarc Backtesting

DMRC -- USA Stock  

USD 28.00  0.005  0.0179%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Digimarc Corporation and determine expected loss or profit from investing in Digimarc over given investment horizon. Additionally see Digimarc Hype Analysis, Digimarc Correlation, Digimarc Valuation, Digimarc Volatility as well as analyze Digimarc Alpha and Beta and Digimarc Performance.
Horizon     30 Days    Login   to change

Digimarc 'What if' Analysis

February 19, 2019
No Change 0.00  0.0%
In 2 months and 2 days
April 20, 2019
If you would invest  0.00  in Digimarc on February 19, 2019 and sell it all today you would earn a total of 0.00 from holding Digimarc Corporation or generate 0.0% return on investment in Digimarc over 60 days. Digimarc is related to or competes with Gartner, EPAM Systems, Accenture plc, CDW, Computer Task, and DXC Technology. Digimarc Corporation provides media identification and management solutions to government and commercial customers in th...

Digimarc Upside/Downside Indicators

Downside Deviation3.67
Information Ratio0.1237
Maximum Drawdown21.65
Value At Risk(6.33)
Potential Upside8.35

Digimarc Market Premium Indicators

Risk Adjusted Performance0.1075
Jensen Alpha0.4416
Total Risk Alpha(0.10)
Sortino Ratio0.1331
Treynor Ratio0.4289

Digimarc Backtested Returns

Macroaxis considers Digimarc somewhat reliable given 2 months investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.1192 which denotes the organization had 0.1192% of return per unit of risk over the last 2 months. Our philosophy towards predicting volatility of a stock is to use all available market data together with stock specific technical indicators that cannot be diversified away. By reviewing Digimarc technical indicators you can presently evaluate if the expected return of 0.5007% is justified by implied risk. Please utilize Digimarc Mean Deviation of 2.64, Downside Deviation of 3.67 and Coefficient Of Variation of 644.37 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Digimarc holds performance score of 7. The firm shows Beta (market volatility) of 1.4037 which denotes to the fact that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Digimarc will likely underperform. Although it is vital to follow to Digimarc historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The philosophy towards predicting future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-one technical indicators for Digimarc Corporation which you can use to evaluate performance of the firm. Please utilizes Digimarc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to make a quick decision on weather Digimarc price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 
correlation synergy

Very good reverse predictability

Digimarc Corporation has very good reverse predictability. Overlapping area represents the amount of predictability between Digimarc time series from February 19, 2019 to March 21, 2019 and March 21, 2019 to April 20, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Digimarc price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Digimarc price fluctuation can be explain by its past prices. Given that Digimarc Corporation has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Digimarc for similar time interval.
Correlation Coefficient-0.61
Spearman Rank Test-0.43
Residual Average0.0
Price Variance3.12

Digimarc lagged returns against current returns

 Current and Lagged Values 

Digimarc regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Digimarc Lagged Returns

 Regressed Prices 

Current Sentiment - DMRC

Digimarc Investor Sentiment

Most of Macroaxis users are currently bullish on Digimarc Corporation. What is your opinion about investing in Digimarc Corporation? Are you bullish or bearish?
98% Bullish
2% Bearish

Digimarc Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Digimarc and Gartner. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Additionally see Digimarc Hype Analysis, Digimarc Correlation, Digimarc Valuation, Digimarc Volatility as well as analyze Digimarc Alpha and Beta and Digimarc Performance. Please also try Money Flow Index module to determine momentum by analyzing money flow index and other technical indicators.
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