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RISK CONCERN
Investment Strategy, Risk Analysis, and Insights by Chartered Professionals
Varonis Systems, Inc. (XNAS:VRNS) In-Depth Stock/Fundamental/Options Analysis Today
Primary Facts
VRNS
Name:
VARONIS SYSTEMS, INC. (XNAS:VRNS)
Sector:
21.05M
Industry:
Software�Infrastructure
CEO:
Mr. Yakov Faitelson
Total Employees:
2,065
Our Technological Advancement Rating
Our Rating:
B
Technological advancement compared to industry is 0.24% higher
ANALYSIS OF ALL CRITICAL FACTORS & RISKS RELATED TO THE STOCK & FUNDAMENTAL/LONG-TERM ANALYSIS OF VARONIS SYSTEMS, INC.(VRNS) AS PER DATA ANALYSIS OF LAST 3 YEARS AND COMPARISON WITH COMPETITORS/PEERS, AND SOFTWARE�INFRASTRUCTURE INDUSTRY. DATE: 07/09/2022
Primary Targets/Price Insights
Previous Close ($) :
25.74
One Month Price Target:
$25.9
Six Month Price Target :
$26.72
Likely Price in One Year's Time:
Ticker:
$27.69
Likely Trading Range Today Under (Normal Volatility)
$25.61
Price Upper limit ($) :
$25.9
Price Lower limit ($) :
Crash Risk Prep/Key Price Levels (High Volatility/Risk)
Price, as per data analysis, isn't likely to fall below:
Today:
$23.98
This week:
$21.8
This month :
$17.86
Other Primary facts
Market Cap:
2.83B
Market Cap Classification:
Mid Cap
Number of Shares
IPO Date:
109.89M
Best/Worst Daily Performance (Last 3+ Years)
Highest Daily Appreciation:
12.12%
-18.15%
Worst Daily Decline:
Our Options Trading Entry Points
Iron Condor entry points for options expiring in 1 week's time
Low risk (<2%) entry points
Buy Call:
Sell Call:
Buy Put:
Sell Put:
$33.91
$30.16
$17.57
$21.32
Medium risk (<10%) entry points
Buy Call
Sell Call
$28.94
Buy Put:
Sell Put:
$28.14
$22.53
$23.34
These entry points can be used for other strategies, such as butterflies, straddles, etc.
Risk-Adjusted returns (Sharpe Ratio) of
VRNS
Sharpe Ratio:
1.56%
Comparison:
VRNS, is amongst the top 60% stocks with highest risk-adjusted returns
Sharpe ratio is -4.50% lower than the industry
& is -31.50% lower than the market/S&P 500 average
Average Returns/Yield of
VRNS
Daily returns:
0.06%
Weekly returns:
0.31%
Monthly returns:
1.23%
Yearly returns:
14.38%
Comparison of returns:
Average annual returns/yield (last 3 years) is 2.35% above industry average
Classification:
VRNS, is amongst the top 40% highest yielding stocks in terms of daily returns
Results of T-Test of Returns:
0.64
Statistical test of Returns:
VRNS has yielded returns statistically similar to the market
Volatility (measured by Standard Deviation)
Daily Volatility:
3.36%
Weekly Volatility:
7.52%
Monthly Volatility:
15.03%
Yearly Volatility:
52.08%
Volitlilty of last five days (Measured by Standard Deviation)
Average Volatility of this Week:
3.03%
Volatility in last five trading days has been -9.97% below long-term volatility
Value at Risk Analysis (VaR)
Daily VaR:
-6.84%
Weekly VaR:
-15.30%
Monthly VaR:
-30.60%
How Much Can the price of
VRNS
Decline in a Recession?
Likely price decline in a recession:
Base case (decline):
-26%
Worst case (decline):
>85%
This translates to price declining to:
$18.95
This translates to price declining to:
$3.86
Severe Crash Probability
Risk of crash in next 6/12 months: High (50-70%)
What is Value at Risk (VaR)?
Risk Fundamentals
VRNS is a 115.98% riskier investment compared to the market/S&P 500 & is 85.03% riskier than Nasdaq (IXIC)
Risk (measured by volatility) is 0.89% above industry average
Overall, it is amongst the top 50% most risky stocks
Beta Examination of
VRNS
Beta in relation to market/S&P 500--1.13
Expected beta in 1 year's time:
0.947
Expected beta in 3 year's time:
1.339
Unlevered (debt free) Beta:
0.698
Beta in relation to Nasdaq (XNAS):
0.728
Beta in relation to all global stocks::
0.837
Beta Comparison & Analysis
Beta of competitors/peers::
1.697
Beta is -33.44% lower than peers
Average Industry Beta:
1.112
Beta is 1.58% above industry average
Sustainable Growth Rate Analysis
Sustainable growth rate for this stock/firm:
-
-
Alpha provided | Alpha Analysis
Alpha provided:
0.038
Alpha is 6.01% above industry average alpha yield
Alpha is 244% higher than market/& is unsustainably high
Analysis of Cost of Capital of
VRNS
Equity cost of capital:
0.109
Equity cost of capital is 1.12% above industry mean WACC
Unlevered (without debt) cost of capital:
6.73%
Before-tax cost of debt:
3.11%
After-tax cost of debt:
2.46%
Overall debt rating:
High AA grade (second highest grade)
Weighted average cost of capital (WACC):
2.46%
WACC is 11.10% above industry mean WACC
Key Per-Share Metrics & Analysis
Revenue per share:
$3.75
Revenue growth rate per share of (3Y):
5.28
Annual revenue growth rate is -54.46% below industry average
EPS:
-$1.21
Expected Annual growth rate of EPS (3Y):
8.60%
Expected future EPS growth rate is -71.46% lower than the Software�Infrastructure industry
Free cash flow (FCF) per share:
-
-
-
Debt per share
$2.85
EBITDA per share
-$0.93
Valuation Analysis Today of
VRNS
P/E Ratio:
-
P/E Ratio of Competitors/Peers:
48.19
-
-
VRNS is -132.61% undervalued if valued using industry average P/E ratio
-
-
P/S (Price to Sales ratio):
6.87
Price to sales ratio is -37.43% below the industry mean
P/B (Price to book value ratio):
5.28
-
-
Net income growth rate (3Y):
277.38%
Net income growth rate is -96.73% lower than the industry average net income growth rate
Dividend Analysis
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Dividend History:
--$0.00
--$0.00
--$0.00
--$0.00
--$0.00
--$0.00
-
In-depth Debt & Leverage Analysis
Debt to equity ratio:
58.54%
Net debt to equity ratio:
-86.25%
Debt to assets ratio:
29.83%
Net debt to assets ratio:
-43.94%
Debt-to-asset ratio is -57.23% below industry average
Ability to repay debt:
Interest coverage ratio:
-10.47
Interest coverage ratio is -95.04% less than industry average
Looking forward:
Debt growth rate:
7.70%
Annual debt growth is -93% lower than industry average debt growth rate
Debt repayment rate in last quarter: 0.00%
Analysis of Key Statistics
Correlation of price movement with the market:
0.368
Statistical significance of correlation:
VRNS has a statistically significant correlation with the market
Average Correlation of the industry with the market:
0.48
Stock price is -23.32% less correlated with the market compared to the industry average correlation
R Squared (percentage of price movement explained by movement of the market):
0.48
Correlation of price movement with Nasdaq (^IXIC):
-0.054
Covariance of price movement with the market:
-0.105
Kurtosis
2.261
Returns are more concentrated around the mean (platykurtic), compared to a normal distribution
Skewness of returns:
-0.151
Returns are, approximately, symmetrical
Fundamental Analysis & Dupont Analysis of
VRNS
Gross Profit Margin Ratio:
337%
Operating Profit Margin Ratio:
-27.38%
Operating profit margin is 130.70% higher than the industry
Net Profit Margin Ratio:
337%
Effective Tax Rate:
-5.59%
Effective tax rate is -117.83% lower than the industry
Dupont Method
Net Profit Margin
Return on Equity Ratio (ROE):
×
ROA
=
×
-24.26%
Return on equity (ROE) is -122.72% lower than the industry
Financial Leverage
Asset Turnover Ratio (ROA):
-12.36%
Return on assets (ROA) is 226.38% higher than the industry
Financial Leverage:
1.4x
Current Ratio:
4.61
Current ratio is 97.93% above industry average
Cash Conversion Cycle (days):
109.6
Cash conversion cycle is -2.63% below industry average
The remaining useful life of property plant & equipment is: 13.5 years
Stock based compensation to net income ratio:
-27.70%
In-depth Efficiency Analysis
Revenue generated per employee:
199.3K
Each employee generates -49% less revenue than industry average revenue per employee
EBITDA generated per employee:
- 49.5K
Each employee generates -176% less EBITDA than industry average revenue per employee
Profit generated per employee:
- 62.9K
Each employee generates -401% less net income/profit than industry average revenue per employee
Free cash flow (FCF) generated per employee:
10.2K
Each employee generates -48% less free cash flow than industry average revenue per employee
Assets/Capital per employee
71.7K
Each employee generates -48% less free cash flow than industry average revenue per employee
Research & Development (R&D) Analysis
Research & development (R&D) investment growth rate-- 38.77%
Growth rate in R&D investment/expenditure is -1594.99% lower than the industry
Competitors/Peer firms of
VRNS
AMPLITUDE, INC. (XNAS:AMPL)
MCAFEE CORP. (XNAS:MCFE)
Sportradar Group AG (XNAS:SRAD)
PAYCOR HCM, INC. (XNAS:PYCR)
DIODES INCORPORATED (XNAS:DIOD)
NCINO, INC. (XNAS:NCNO)
TASKUS, INC. (XNAS:TASK)
EXLSERVICE HOLDINGS, INC. (XNAS:EXLS)
STONECO LTD. (XNAS:STNE)
Current Analyst Ratings
Strong buy�13%
Buy�21%
Hold�8%
Sell�0%
Strong sell�0%
Overall analyst sentiment is: Buy
Income Statement
Period:
TTM
Date:
3/31/22
Revenue:
411.61M
Cost of Revenue:
Gross Profit:
R&D Expense
General & Admin Expenses:
Selling, General & Admin Expenses
Sales and Marketing Expenses
Other Expenses :
Operating Expenses :
Cost & Expenses :
Interest Income:
Interest Expenses:
Depreciation & Amortization:
EBITDA:
Operating Income:
Other Income Expenses:
Income Before Tax:
Income Tax Expense:
Net Income:
Balance Sheet
Date:
Calendar Year:
Period:
Cash & Cash Equivalents:
Short Term Investments:
Cash & Short Term Investments:
Net Receivables:
Inventory:
Other Current Assets:
Total Current Assets:
PP&E:
Goodwill:
Intangible Assets:
Long Term Investments:
Tax Assets:
Other Non-Current Assets:
Total Non-Current Assets:
Other Assets:
Total Assets:
Accounts Payable:
Short Term Debt:
Tax Payables:
Deferred Revenue:
Other Current Liabilities:
Total Current Liabilities:
Long Term Debt:
Other Non-Current Liabilities:
Total Non Current Liabilities:
Other Liabilities:
Total Liabilities:
Common Stock:
Retained Earnings:
Accumulated Other Comprehensive Loss:
Other Total Stockholders' Equity:
Total Stockholders' Equity:
Total Liabilities and Stockholders' Equity:
Total Investments:
Total Debt:
Net Debt:
63.73M
347.88M
151.39M
65.59M
309.20M
243.61M
-
460.59M
-
9.75M
11.22M
- 102121.00K
- 112704.00K
- 129968.00K
- 123091.00K
6.88M
- 129968.00K
Statement of Cash Flow
Date:
Period:
2.68M
Differed Income Tax :
-
Stock Based Compensation :
36.00M
Change in Working Capital :
25.81M
Accounts Receivables:
53.58M
Other Working Capital:
- 12588.00K
Other Non-Cash Items:
8.82M
Net Cash Provided by Operating Activities:
24.54M
Investments in PP&E:
- 3495.00K
Net Acquisitions:
-
Purchases of Investments:
- 30225.00K
Sales/Maturities of Investments:
Other Investing Activities:
Net Cash Used for Investing Activities:
Debt Repayment:
Common Stock Issued:
Common Stock Repurchased:
Dividend Paid:
Other Financing Activities:
Net Cash Used Provided by Financing Activities:
Effect of FOREX on Changes in Cash:
Net Changes in Cash:
Cash at End of Period:
Cash at Beginning of Period:
Operating Cash Flow:
Capital Expenditure:
Free Cash Flow (FCF):
3/31/22
2022
Q1
775.72M
28.37M
804.09M
63.60M
-
35.81M
903.51M
100.85M
23.14M
3.93M
-
-
20.14M
148.06M
-
1.05B
4.77M
-
-
98.76M
92.56M
196.09M
313.63M
3.68M
319.69M
-
515.78M
110.00K
- 467719.00K
2.9M
-
March 31, 2022 at 6:00:00 AM
524.31M
535.78M
1.05B
-
313.63M
- 462087.0K
1.85M
-
- 31870.00K
-
-
-
-
- 22714.00K
- 22714.00K
-
- 30042.00K
775.72M
805.76M
24.54M
- 3495.00K
21.05M
Our Proprietary Portfolio Rating
Our Rating:
B
Price Forecast/Expected Price in Next 5 Years of
VRNS
2023
2024
2025
2026
2027
$27.83
$10.90
$11.73
$12.62
$13.57