Deere (Germany) Market Value
| DCO Stock | 443.85 3.90 0.89% |
| Symbol | Deere |
Deere 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Deere's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Deere.
| 11/01/2024 |
| 12/01/2024 |
Deere Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Deere's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Deere Company upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9162 | |||
| Information Ratio | 0.1716 | |||
| Maximum Drawdown | 8.73 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 2.48 |
Deere Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deere's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deere's standard deviation. In reality, there are many statistical measures that can use Deere historical prices to predict the future Deere's volatility.| Risk Adjusted Performance | 0.204 | |||
| Jensen Alpha | 0.3601 | |||
| Total Risk Alpha | 0.1348 | |||
| Sortino Ratio | 0.2909 | |||
| Treynor Ratio | 1.48 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deere's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Deere Company Backtested Returns
Deere appears to be very steady, given 3 months investment horizon. Deere Company secures Sharpe Ratio (or Efficiency) of 0.25, which denotes the company had a 0.25% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for Deere Company, which you can use to evaluate the volatility of the firm. Please utilize Deere's Downside Deviation of 0.9162, mean deviation of 0.9793, and Semi Deviation of 0.4172 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Deere holds a performance score of 19. The firm shows a Beta (market volatility) of 0.27, which means not very significant fluctuations relative to the market. As returns on the market increase, Deere's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deere is expected to be smaller as well. Please check Deere's potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to make a quick decision on whether Deere's price patterns will revert.
Auto-correlation | 0.45 |
Average predictability
Deere Company has average predictability. Overlapping area represents the amount of predictability between Deere time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Deere Company price movement. The serial correlation of 0.45 indicates that just about 45.0% of current Deere price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 596.68 |
Deere Company lagged returns against current returns
Autocorrelation, which is Deere stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Deere's stock expected returns. We can calculate the autocorrelation of Deere returns to help us make a trade decision. For example, suppose you find that Deere has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Deere regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Deere stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deere stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deere stock over time.
Current vs Lagged Prices |
| Timeline |
Deere Lagged Returns
When evaluating Deere's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deere stock have on its future price. Deere autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Deere autocorrelation shows the relationship between Deere stock current value and its past values and can show if there is a momentum factor associated with investing in Deere Company.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Additional Tools for Deere Stock Analysis
When running Deere's price analysis, check to measure Deere's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Deere is operating at the current time. Most of Deere's value examination focuses on studying past and present price action to predict the probability of Deere's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Deere's price. Additionally, you may evaluate how the addition of Deere to your portfolios can decrease your overall portfolio volatility.