Illinois Tool (Germany) Market Value
| ILT Stock | EUR 263.30 1.00 0.38% |
| Symbol | Illinois |
Illinois Tool '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 Illinois Tool'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 Illinois Tool.
| 08/29/2024 |
| 11/27/2024 |
If you would invest 0.00 in Illinois Tool on August 29, 2024 and sell it all today you would earn a total of 0.00 from holding Illinois Tool Works or generate 0.0% return on investment in Illinois Tool over 90 days. Illinois Tool is related to or competes with Scandinavian Tobacco, Platinum Investment, Bank of America, Rogers Communications, CeoTronics, IMPERIAL TOBACCO, and Ares Management. Illinois Tool Works Inc. manufactures and sells industrial products and equipment worldwide More
Illinois Tool 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 Illinois Tool'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 Illinois Tool Works upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.891 | |||
| Information Ratio | 0.1341 | |||
| Maximum Drawdown | 4.38 | |||
| Value At Risk | (1.28) | |||
| Potential Upside | 2.01 |
Illinois Tool Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Illinois Tool's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Illinois Tool's standard deviation. In reality, there are many statistical measures that can use Illinois Tool historical prices to predict the future Illinois Tool's volatility.| Risk Adjusted Performance | 0.2016 | |||
| Jensen Alpha | 0.1768 | |||
| Total Risk Alpha | 0.0962 | |||
| Sortino Ratio | 0.1555 | |||
| Treynor Ratio | 0.3797 |
Illinois Tool Works Backtested Returns
Illinois Tool appears to be very steady, given 3 months investment horizon. Illinois Tool Works 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-eight technical indicators for Illinois Tool Works, which you can use to evaluate the volatility of the firm. Please utilize Illinois Tool's Risk Adjusted Performance of 0.2016, market risk adjusted performance of 0.3897, and Downside Deviation of 0.891 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Illinois Tool holds a performance score of 20. The company retains a Market Volatility (i.e., Beta) of 0.68, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Illinois Tool's returns are expected to increase less than the market. However, during the bear market, the loss of holding Illinois Tool is expected to be smaller as well. Please check Illinois Tool's maximum drawdown, semi variance, and the relationship between the sortino ratio and potential upside , to make a quick decision on whether Illinois Tool's current trending patterns will revert.
Auto-correlation | 0.88 |
Very good predictability
Illinois Tool Works has very good predictability. Overlapping area represents the amount of predictability between Illinois Tool time series from 29th of August 2024 to 13th of October 2024 and 13th of October 2024 to 27th 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 Illinois Tool Works price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current Illinois Tool price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 87.77 |
Illinois Tool Works lagged returns against current returns
Autocorrelation, which is Illinois Tool 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 Illinois Tool's stock expected returns. We can calculate the autocorrelation of Illinois Tool returns to help us make a trade decision. For example, suppose you find that Illinois Tool 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 |
Illinois Tool 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 Illinois Tool stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Illinois Tool stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Illinois Tool stock over time.
Current vs Lagged Prices |
| Timeline |
Illinois Tool Lagged Returns
When evaluating Illinois Tool's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Illinois Tool stock have on its future price. Illinois Tool 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, Illinois Tool autocorrelation shows the relationship between Illinois Tool stock current value and its past values and can show if there is a momentum factor associated with investing in Illinois Tool Works.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Additional Information and Resources on Investing in Illinois Stock
When determining whether Illinois Tool Works is a strong investment it is important to analyze Illinois Tool's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact Illinois Tool's future performance. For an informed investment choice regarding Illinois Stock, refer to the following important reports:Check out Illinois Tool Correlation, Illinois Tool Volatility and Illinois Tool Alpha and Beta module to complement your research on Illinois Tool. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Illinois Tool 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.