Descartes Systems Group Stock Volatility
| DSG Stock | CAD 99.52 1.43 1.46% |
Descartes Systems Group shows a minimal volatility profile over the current evaluation window. Descartes Systems Group registers a Sharpe Ratio (Efficiency) of -0.12, reflecting negative risk-adjusted performance over the last 3 months. We identified 23 technical signals influencing current risk dynamics.
Sharpe Ratio = -0.1208
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| Negative Returns | DSG |
Estimated Market Risk
| 2.56 actual daily | 22 78% of assets are more volatile |
Expected Return
| -0.31 actual daily | 0 Most of other assets have higher returns |
Risk-Adjusted Return
| -0.12 actual daily | 0 Most of other assets perform better |
Latest disclosures for Descartes Systems Group show a Market Risk Adjusted Performance of -2.0%, a Risk of 2.56, and a Risk Adjusted Performance of -0.1%. Based on recent moving average trends, Descartes Systems has not achieved its theoretical performance maximum. Pairing it with a well-diversified portfolio structure may improve overall efficiency.
Key indicators related to Descartes Systems' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
The volatility profile of Descartes Systems determines how much Descartes Systems' price can move in either direction over a given time frame. Investors use volatility estimates to size positions, set stop-loss levels, and price the cost of hedging Descartes Systems exposure.
Descartes |
Volatility Strategy
Volatility in Descartes Systems Group reflects changing market conditions that influence diversification outcomes. Current statistical measures show total volatility near 2.56% with a beta coefficient of 0.18, indicating sensitivity relative to the broader market benchmark. Risk-adjusted efficiency, represented by a Sharpe ratio of -0.12, evaluates return per unit of total risk. An alpha value of -0.35 reflects performance relative to systematic market exposure. Expected return estimates near -0.31% are derived from historical distribution modeling and help frame forward-looking return assumptions within a portfolio context. Risk appetite shifts can affect dispersion levels.
Main indicators related to Descartes Systems' market risk premium analysis include:
Beta 0.18 | Alpha -0.35 | Risk 2.56 | Sharpe Ratio -0.12 | Expected Return -0.31 |
Moving together with Descartes Stock
| 0.93 | ZMSF | MICROSOFT BMO CDR | PairCorr |
| 0.94 | MSFT | Microsoft Corp CDR | PairCorr |
| 0.95 | MSFT | Microsoft CDR | PairCorr |
Moving against Descartes Stock
| 0.94 | BCE-PR | BCE Inc Pref | PairCorr |
| 0.87 | AME | Abacus Mining | PairCorr |
| 0.77 | OXY | Occidental Petroleum CDR | PairCorr |
| 0.69 | PGDC | Patagonia Gold Corp | PairCorr |
| 0.53 | ROCK | Rockridge Resources | PairCorr |
| 0.52 | ARA | Aclara Resources Earnings Call This Week | PairCorr |
| 0.47 | WHN | Westhaven Ventures | PairCorr |
| 0.42 | FPX | FPX Nickel Corp | PairCorr |
| 0.36 | QTRH | Quarterhill Earnings Call This Week | PairCorr |
Sensitivity To Market
Descartes Systems'The beta coefficient of 0.18 for Descartes Systems Group measures how its returns respond to broader market changes. In regression terms, beta captures the slope between asset returns and index returns. Historical volatility is currently near 2.56%.Descartes Systems Group return patterns over the selected horizon reflect a minimal level of variability, based on dispersion and downside-focused statistics. For stocks, volatility can be sensitive to changes in rates, inflation expectations, and overall market tone.
| α | -0.3527 | β | 0.18 | Check current 90 days Descartes Systems correlation with market (Dow Jones Industrial)
Downside Risk
Descartes standard deviation quantifies the typical daily price movement relative to its average over your selected period. Volatile instruments show high standard deviation; stable instruments show low.
Standard Deviation | 2.56 |
The difference between upside risk and downside risk is meaningful for Descartes Systems investors. Upside risk is measured by Descartes Systems's standard deviation, while downside risk is captured by semi-deviation or downside deviation of Descartes Systems' daily returns. Latest disclosures for Descartes Systems Group show a Maximum Drawdown of 11.68.
Stock Volatility Analysis
When measuring the risk of Descartes Systems stock, volatility is a critical metric. It indicates how dramatically Descartes Systems' price swings over a specific time horizon. A stock with high volatility can produce outsized gains or losses compared to a low-volatility alternative.
Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Descartes Systems Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Descartes Systems Projected Return Density Against Market
Assuming the 90-day trading horizon Descartes Systems has a beta of 0.179 suggesting as returns on the market go up, Descartes Systems's average returns are expected to increase less than the benchmark. However, during a bear market, the loss from holding Descartes Systems Group is expected to be smaller as well.Descartes Systems carries exposure to broad market movements as well as company or sector-specific developments. While portfolio diversification can reduce asset-level risk, systematic volatility cannot be avoided. Standard deviation and beta quantify this exposure. Latest disclosures for Descartes Systems Group show a Mean Deviation of 1.81 and a Standard Deviation of 2.50.
Predicted Return Density |
| Returns |
What Drives a Descartes Systems Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Stock Risk Measures
Assuming the 90-day trading horizon the coefficient of variation of Descartes Systems is -827.75. The daily returns are distributed with a variance of 6.54 and standard deviation of 2.56. The mean deviation of Descartes Systems Group is currently at 1.84. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.8
α | Alpha over Dow Jones | -0.3527 | |
β | Beta against Dow Jones | 0.18 | |
σ | Overall volatility | 2.56 | |
Ir | Information ratio | -0.1264 |
Stock Return Volatility
Descartes Systems historical daily return volatility represents how much of Descartes Systems stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 2.5572% volatility of returns over a 90-day investment horizon. By contrast, Dow Jones Industrial accepts 0.7855% volatility on return distribution over a 90-day horizon. Performance |
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Related Correlations Analysis
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
There is a big difference between Descartes Stock performing well and Descartes Systems Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Descartes Systems' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| TOI | 2.18 | -0.36 | 0.00 | 0.37 | 0.00 | 5.54 | 10.68 | |||
| LMN | 2.21 | -0.25 | 0.00 | 0.29 | 0.00 | 4.56 | 23.74 | |||
| OTEX | 1.76 | -0.50 | 0.00 | -0.42 | 0.00 | 2.62 | 16.30 | |||
| KXS | 1.73 | -0.38 | 0.00 | -1.53 | 0.00 | 3.50 | 11.11 | |||
| IQ | 2.52 | 0.28 | 0.05 | 0.22 | 2.97 | 8.16 | 19.26 | |||
| DCBO | 2.35 | -0.12 | 0.00 | -0.43 | 0.00 | 5.00 | 33.26 | |||
| ENGH | 1.19 | -0.38 | 0.00 | -3.07 | 0.00 | 1.73 | 8.77 | |||
| LSPD | 1.83 | -0.34 | 0.00 | -0.30 | 0.00 | 2.66 | 14.57 | |||
| TCS | 1.93 | -0.34 | 0.00 | 2.39 | 0.00 | 4.10 | 15.00 |
Risk Metrics, Assumptions & Methodology
Volatility for Descartes Systems measures return dispersion and uncertainty over time. Standard deviation provides a baseline measure of variability magnitude. Descartes Systems has a market cap of 8.56 B, P/E of 118.05, ROE of 10.9%.
This section for Descartes Systems Group is built from periodic company reporting and market reference feeds, with harmonization applied to align reporting definitions. Values may update on different source schedules. Volatility and downside metrics are estimated from historical return dispersion.
This content is curated and reviewed by:
Raphi Shpitalnik - Junior Member of Macroaxis Editorial BoardDescartes Systems Investment Opportunity
Measured over the selected horizon, Descartes Systems Group carries roughly 3.24 times the return volatility of Dow Jones Industrial. That added volatility may be acceptable only if the position is expected to deliver stronger return efficiency or diversification value.You can use Descartes Systems Group to enhance the returns of your portfolios. This short-horizon strategy note focuses on what the latest move may imply for immediate trading context. It is intended to separate routine noise from more speculative bursts in price action. a large bullish trend. Check odds of Descartes Systems to be traded at C$109.47 in 90 days.Very good diversification
Across the chosen horizon, DSG and DJI show a correlation of -0.28 and fall into the Very good diversification bucket. In portfolio terms, the overlap visualization shows how much shared movement remains after both positions are combined.
Descartes Systems Additional Risk Indicators
Risk analysis around Descartes Systems Group becomes more useful when investors review secondary indicators that can confirm, refine, or challenge the basic volatility picture. Used correctly, these measures can support both standalone risk assessment and portfolio-level hedging decisions.
| Risk Adjusted Performance | -0.10 | |||
| Market Risk Adjusted Performance | -2.00 | |||
| Mean Deviation | 1.81 | |||
| Coefficient Of Variation | -712.74 | |||
| Standard Deviation | 2.5 | |||
| Variance | 6.25 | |||
| Information Ratio | -0.13 |
Descartes Systems Suggested Diversification Pairs
Pair trading with Descartes Systems can help investors hedge some company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Descartes Systems as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Descartes Systems' systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Descartes Systems' unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Descartes Systems Group.
More Resources for Descartes Stock Analysis
A structured review of Descartes Systems often starts with core financial statements and trend context. Ratios and trend metrics help frame Descartes Systems' operating context. Key reports that frame Descartes Systems Group Stock are listed below:Descartes Systems has a market cap of 8.56 B, operating margin of 31.2%, ROE of 10.9%. Use Investing Opportunities to explore allocation context. This includes a position in Descartes Systems Group in the portfolio view. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in inflation. Analysis related to Descartes Systems should be read together with other portfolio and risk tools before capital is reallocated. That is especially important when the goal is to improve the overall mix of instruments already held. You can also try the Portfolio Holdings module to check your current holdings and cash position to determine if your portfolio needs rebalancing.