Descartes Systems Group Stock Market Value
| DSG Stock | CAD 163.09 1.63 0.99% |
| Symbol | Descartes |
Descartes Systems Price To Book Ratio
Descartes Systems '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 Descartes Systems' 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 Descartes Systems.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in Descartes Systems on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding Descartes Systems Group or generate 0.0% return on investment in Descartes Systems over 720 days. Descartes Systems is related to or competes with Kinaxis, Enghouse Systems, Open Text, Celestica, and Constellation Software. The Descartes Systems Group Inc. provides federated network and logistics technology solutions worldwide More
Descartes Systems 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 Descartes Systems' 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 Descartes Systems Group upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.44 | |||
| Information Ratio | 0.1299 | |||
| Maximum Drawdown | 8.09 | |||
| Value At Risk | (2.24) | |||
| Potential Upside | 2.47 |
Descartes Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Descartes Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Descartes Systems' standard deviation. In reality, there are many statistical measures that can use Descartes Systems historical prices to predict the future Descartes Systems' volatility.| Risk Adjusted Performance | 0.1735 | |||
| Jensen Alpha | 0.2135 | |||
| Total Risk Alpha | 0.0807 | |||
| Sortino Ratio | 0.1291 | |||
| Treynor Ratio | 0.3962 |
Descartes Systems Backtested Returns
Descartes Systems appears to be very steady, given 3 months investment horizon. Descartes Systems secures Sharpe Ratio (or Efficiency) of 0.21, which denotes the company had a 0.21% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Descartes Systems Group, which you can use to evaluate the volatility of the firm. Please utilize Descartes Systems' Downside Deviation of 1.44, mean deviation of 1.07, and Coefficient Of Variation of 452.93 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Descartes Systems holds a performance score of 16. The firm shows a Beta (market volatility) of 0.77, which means possible diversification benefits within a given portfolio. As returns on the market increase, Descartes Systems' returns are expected to increase less than the market. However, during the bear market, the loss of holding Descartes Systems is expected to be smaller as well. Please check Descartes Systems' expected short fall, day median price, and the relationship between the potential upside and accumulation distribution , to make a quick decision on whether Descartes Systems' price patterns will revert.
Auto-correlation | 0.49 |
Average predictability
Descartes Systems Group has average predictability. Overlapping area represents the amount of predictability between Descartes Systems time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th of November 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 Descartes Systems price movement. The serial correlation of 0.49 indicates that about 49.0% of current Descartes Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 158.61 |
Descartes Systems lagged returns against current returns
Autocorrelation, which is Descartes Systems 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 Descartes Systems' stock expected returns. We can calculate the autocorrelation of Descartes Systems returns to help us make a trade decision. For example, suppose you find that Descartes Systems 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 |
Descartes Systems 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 Descartes Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Descartes Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Descartes Systems stock over time.
Current vs Lagged Prices |
| Timeline |
Descartes Systems Lagged Returns
When evaluating Descartes Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Descartes Systems stock have on its future price. Descartes Systems 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, Descartes Systems autocorrelation shows the relationship between Descartes Systems stock current value and its past values and can show if there is a momentum factor associated with investing in Descartes Systems Group.
Regressed Prices |
| Timeline |
Pair Trading with Descartes Systems
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Descartes Systems position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Descartes Systems will appreciate offsetting losses from the drop in the long position's value.Moving together with Descartes Stock
Moving against Descartes Stock
The ability to find closely correlated positions to Descartes Systems could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Descartes Systems when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Descartes Systems - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Descartes Systems Group to buy it.
The correlation of Descartes Systems is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Descartes Systems moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Descartes Systems moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Descartes Systems can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Descartes Systems Correlation, Descartes Systems Volatility and Descartes Systems Alpha and Beta module to complement your research on Descartes Systems. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Descartes Systems technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.