Digimarc Backtesting

DMRC -- USA Stock  

USD 50.59  0.01  0.0198%

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
SymbolX
Backtest

Digimarc 'What if' Analysis

April 18, 2019
0.00
No Change 0.00  0.0%
In 2 months and 1 day
June 17, 2019
0.00
If you would invest  0.00  in Digimarc on April 18, 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 Deviation5.01
Information Ratio0.1665
Maximum Drawdown63.51
Value At Risk(6.33)
Potential Upside13.34

Digimarc Market Premium Indicators

Risk Adjusted Performance0.133
Jensen Alpha1.39
Total Risk Alpha1.79
Sortino Ratio0.2899
Treynor Ratio(1.70)

Digimarc Backtested Returns

Digimarc is slightly risky given 2 months investment horizon. Digimarc secures Sharpe Ratio (or Efficiency) of 0.201 which denotes the organization had 0.201% of return per unit of risk over the last 2 months. Our philosophy towards predicting risk of a stock is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.7899% are justified by taking the suggested risk. Use Digimarc Coefficient Of Variation of 610.14, Mean Deviation of 4.9 and Downside Deviation of 5.01 to evaluate company specific risk that cannot be diversified away. Digimarc holds performance score of 13 on a scale of zero to a hundred. The firm shows Beta (market volatility) of -0.8363 which denotes to the fact that as returns on market increase, returns on owning Digimarc are expected to decrease at a much smaller rate. During bear market, Digimarc is likely to outperform the market. Although it is essential to pay attention to Digimarc historical returns, it is also good to be reasonable about what you can actually do with equity current trending patterns. Macroaxis philosophy towards predicting future performance of any stock is to look not only at its past charts but also at the business as a whole, including all fundamental and technical indicators. To evaluate if Digimarc Corporation expected return of 1.7899 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable. Use Digimarc Treynor Ratio, and the relationship between Standard Deviation and Downside Variance to analyze future returns on Digimarc.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.80) 
correlation synergy

Almost perfect reverse predictability

Digimarc Corporation has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Digimarc time series from April 18, 2019 to May 18, 2019 and May 18, 2019 to June 17, 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 -0.8 indicates that around 80.0% 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-0.8
Spearman Rank Test-0.79
Residual Average0.0
Price Variance32.93

Digimarc lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Digimarc regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Digimarc Lagged Returns

 Regressed Prices 
      Timeline 

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Risk-Return Analysis

View associations between returns expected from investment and the risk you assume
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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
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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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
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