Data Communications Management Stock Volatility
| DCM Stock | CAD 1.64 -0.04 -2.38% |
Sharpe Ratio = 0.0671
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Estimated Market Risk
| 3.25 actual daily | 29 Higher volatility than 29% of comparable assets |
Expected Return
| 0.22 actual daily | 4 Outperformed by 96% of comparable assets |
Risk-Adjusted Return
| 0.07 actual daily | 5 5th percentile in risk-adjusted performance |
For Data Communications Management, recent data highlights a Market Risk Adjusted Performance of -0.1%, a Risk of 3.25, and a Risk Adjusted Performance of 0.03%. Monthly performance data shows the stock operating at about 5% of its measured historical range.
Key indicators related to Data Communications' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Data Communications (3 Months):
Beta -0.57 | Alpha 0.08 | Risk 3.25 | Sharpe Ratio 0.07 | Expected Return 0.22 |
Moving Against Data Stock
Sensitivity To Market
Data Communications Management exhibits a beta of -0.57, representing its market-relative sensitivity. This coefficient separates systematic risk from company-specific volatility. Total return dispersion is approximately 3.25%. Data Communications Management return patterns over the selected horizon reflect a above average level of variability, based on dispersion and downside-focused statistics. Standard deviation is near 3.21%. For individual stocks, volatility often rises around earnings, guidance updates, and major company news.
3 Months Beta |Data Communications Demand TrendCurrent 90-day Data Communications correlation with market (Dow Jones Industrial)Downside Risk
For Data, the standard deviation figure expresses the observed spread of daily returns over the selected period. The magnitude of Data standard deviation determines where it falls on the volatility spectrum relative to peers. Pairing standard deviation with beta separates Data total risk from its market-driven component. Combining Data standard deviation with skewness and kurtosis gives a more complete picture of return distribution shape.
Standard Deviation | 3.25 |
Distinguishing between standard deviation and downside deviation sharpens the risk picture for Data Communications. Standard deviation reflects total return dispersion for Data Communications, while downside deviation captures only the adverse portion of Data Communications' returns. Standard deviation and downside deviation for Data Communications measure different things - total dispersion vs. loss-only dispersion. Semi-deviation and downside deviation focus on the loss risk embedded in Data Communications' returns. For Data Communications Management, recent data highlights a Downside Deviation of 3.70, a Downside Variance of 13.70, and a Maximum Drawdown of 16.20.
Stock Volatility Analysis
For Data Communications, understanding volatility is essential to assessing portfolio risk contribution. It indicates how dramatically Data Communications' price swings over a specific time horizon. For Data Communications, volatility is both a risk factor and a driver of return dispersion. Sharp price movements in Data Communications' are triggered by earnings surprises, macroeconomic data, or sector trends.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Data Communications's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, Data Communications Management has a beta of -0.5685 suggesting that as returns on the benchmark increase, returns on Data Communications tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, Data Communications Management tends to outperform the market.Holders of Data Communications face systematic risk from broad stock market trends and unsystematic risk from company or sector-specific developments. Diversification reduces specific exposure, but macro-driven volatility persists. Beta remains a common sensitivity metric. For Data Communications Management, recent data highlights a Downside Deviation of 3.70, a Mean Deviation of 2.40, and a Semi Deviation of 3.18.
Predicted Return Distribution |
| Density |
What Drives Data Communications' Price Volatility?
Industry Dynamics
Data Communications' volatility can rise when competitive dynamics or demand conditions shift across the Commercial Services & Supplies sector.Political and Economic Environment
Changes in fiscal policy, rates, and growth expectations affect market-wide risk premiums and spill into Data Communications' trading.Data Communications' Company-Specific Factors
Event risk around earnings, forecasts, and operating performance can create abrupt price dispersion in Data Communications.Stock Risk Measures
Over the selected 90-day horizon, the coefficient of variation of Data Communications is 1490.33. The daily returns are distributed with a variance of 10.59 and standard deviation of 3.25. The mean deviation of Data Communications Management is currently at 2.43. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.96
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | -0.5685 | |
σ | Overall volatility | 3.25 | |
Ir | Information ratio | 0.02 |
Stock Return Volatility
Data Communications return volatility captures the typical daily swing in stock returns relative to the mean over the selected period. The firm has volatility of 3.2536% on return distribution over a 90-day investment horizon. Meanwhile, Dow Jones Industrial reported 0.9279% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
| -0.31 | 0.19 | 0.12 | 0.07 | 0.68 | 0.01 | DYA | ||
| -0.31 | 0.17 | 0.36 | 0.36 | 0.13 | 0.62 | BLM | ||
| 0.19 | 0.17 | -0.18 | 0.09 | 0.08 | 0.25 | ROOF | ||
| 0.12 | 0.36 | -0.18 | 0.68 | 0.48 | 0.6 | VCI | ||
| 0.07 | 0.36 | 0.09 | 0.68 | 0.42 | 0.74 | AEP | ||
| 0.68 | 0.13 | 0.08 | 0.48 | 0.42 | 0.54 | BRM | ||
| 0.01 | 0.62 | 0.25 | 0.6 | 0.74 | 0.54 | SECU | ||
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
Data Communications Company can look attractive on recent price action while risk efficiency lags the peer group. Reviewing Data Communications' risk-adjusted indicators gives a clearer view of whether returns are being earned efficiently. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| DYA | 4.69 | 1.11 | 0.13 | 1.55 | 3.90 | 14.29 | 27.84 | |||
| BLM | 3.36 | -0.50 | 0.00 | -0.33 | 0.00 | 7.35 | 21.15 | |||
| ROOF | 1.77 | -0.25 | 0.00 | 2.80 | 0.00 | 5.00 | 19.09 | |||
| VCI | 1.67 | -0.05 | 0.00 | 0.53 | 0.00 | 4.29 | 12.43 | |||
| AEP | 1.96 | -0.05 | 0.00 | -0.06 | 0.00 | 3.45 | 16.91 | |||
| BRM | 1.90 | 0.47 | 0.21 | -1.54 | 1.54 | 4.42 | 18.59 | |||
| SECU | 1.72 | -0.02 | 0.00 | -0.06 | 0.00 | 4.19 | 14.01 |
Risk Metrics, Assumptions & Methodology
Drawdown depth for Data Communications defines the worst peak-to-trough loss observed, framing downside volatility in practical terms. Observed drawdowns appear relatively moderate compared with broader market swings. Data Communications has a market cap of 90.03 million, P/E of 312.5, ROE of 23.91%.
Data Communications Management figures are aggregated from periodic company reporting and market reference feeds and normalized across reporting formats. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Raphi Shpitalnik, Junior Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Data Communications Management is more volatile than Dow Jones Industrial by approximately 3.49x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 29% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Data Communications Management exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It gives extra weight to the size of the move, the quote level, and whether the instrument trades in a hype-prone venue. an unexpected downward movement. The market is reacting to new fundamentals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Data Communications probability analysis.
Very good diversification
The correlation between Data Communications and Dow Jones is 0.05, which Macroaxis classifies as Very good diversification for the selected horizon. In portfolio terms, the overlap shows how much shared movement remains after combining both positions.
Additional Risk Indicators
Secondary risk indicators for Data Communications Management evaluate exposure beyond standard deviation, beta, or one headline volatility measure. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | 0.0336 | |||
| Market Risk Adjusted Performance | -0.13 | |||
| Mean Deviation | 2.4 | |||
| Semi Deviation | 3.18 | |||
| Downside Deviation | 3.7 | |||
| Coefficient Of Variation | 3621.02 | |||
| Standard Deviation | 3.21 |
Data Communications Suggested Diversification Pairs
A pair-trading setup around Data Communications shifts the return benchmark from the broad market to a second position, altering the risk profile. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
While pairing positions reduces portfolio risk, some forms of risk persist no matter which instruments are combined. No matter how well a pair is constructed around Data Communications, market-wide risk remains. What pair trading can address is Data Communications' unsystematic risk - the portion driven by company or sector-specific factors rather than broad market forces.