Imperial Brands (Germany) Market Value
| ITB Stock | 31.05 0.06 0.19% |
| Symbol | Imperial |
Imperial Brands '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 Imperial Brands' 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 Imperial Brands.
| 06/25/2024 |
| 12/22/2024 |
If you would invest 0.00 in Imperial Brands on June 25, 2024 and sell it all today you would earn a total of 0.00 from holding Imperial Brands PLC or generate 0.0% return on investment in Imperial Brands over 180 days. Imperial Brands is related to or competes with Philip Morris, Philip Morris, British American, British American, British American, Altria, and Japan Tobacco. More
Imperial Brands 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 Imperial Brands' 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 Imperial Brands PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8255 | |||
| Information Ratio | 0.2569 | |||
| Maximum Drawdown | 6.6 | |||
| Value At Risk | (1.08) | |||
| Potential Upside | 2.31 |
Imperial Brands Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Imperial Brands' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Imperial Brands' standard deviation. In reality, there are many statistical measures that can use Imperial Brands historical prices to predict the future Imperial Brands' volatility.| Risk Adjusted Performance | 0.2295 | |||
| Jensen Alpha | 0.3092 | |||
| Total Risk Alpha | 0.2741 | |||
| Sortino Ratio | 0.3425 | |||
| Treynor Ratio | (1.59) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Imperial Brands' 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.
Imperial Brands PLC Backtested Returns
Imperial Brands appears to be very steady, given 3 months investment horizon. Imperial Brands PLC holds Efficiency (Sharpe) Ratio of 0.26, which attests that the entity had a 0.26% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Imperial Brands PLC, which you can use to evaluate the volatility of the firm. Please utilize Imperial Brands' Market Risk Adjusted Performance of (1.58), downside deviation of 0.8255, and Risk Adjusted Performance of 0.2295 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Imperial Brands holds a performance score of 20. The company retains a Market Volatility (i.e., Beta) of -0.19, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Imperial Brands are expected to decrease at a much lower rate. During the bear market, Imperial Brands is likely to outperform the market. Please check Imperial Brands' treynor ratio, kurtosis, period momentum indicator, as well as the relationship between the downside variance and day median price , to make a quick decision on whether Imperial Brands' current trending patterns will revert.
Auto-correlation | 0.90 |
Excellent predictability
Imperial Brands PLC has excellent predictability. Overlapping area represents the amount of predictability between Imperial Brands time series from 25th of June 2024 to 23rd of September 2024 and 23rd of September 2024 to 22nd 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 Imperial Brands PLC price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Imperial Brands price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 4.22 |
Imperial Brands PLC lagged returns against current returns
Autocorrelation, which is Imperial Brands 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 Imperial Brands' stock expected returns. We can calculate the autocorrelation of Imperial Brands returns to help us make a trade decision. For example, suppose you find that Imperial Brands 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 |
Imperial Brands 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 Imperial Brands stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Imperial Brands stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Imperial Brands stock over time.
Current vs Lagged Prices |
| Timeline |
Imperial Brands Lagged Returns
When evaluating Imperial Brands' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Imperial Brands stock have on its future price. Imperial Brands 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, Imperial Brands autocorrelation shows the relationship between Imperial Brands stock current value and its past values and can show if there is a momentum factor associated with investing in Imperial Brands PLC.
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 Imperial Stock Analysis
When running Imperial Brands' price analysis, check to measure Imperial Brands' 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 Imperial Brands is operating at the current time. Most of Imperial Brands' value examination focuses on studying past and present price action to predict the probability of Imperial Brands' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Imperial Brands' price. Additionally, you may evaluate how the addition of Imperial Brands to your portfolios can decrease your overall portfolio volatility.