IMC SA (Poland) Market Value
| IMC Stock | 13.20 0.05 0.38% |
| Symbol | IMC |
IMC SA '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 IMC SA'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 IMC SA.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in IMC SA on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding IMC SA or generate 0.0% return on investment in IMC SA over 30 days.
IMC SA 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 IMC SA'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 IMC SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.77 | |||
| Information Ratio | 0.0317 | |||
| Maximum Drawdown | 13.91 | |||
| Value At Risk | (3.66) | |||
| Potential Upside | 5.26 |
IMC SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IMC SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IMC SA's standard deviation. In reality, there are many statistical measures that can use IMC SA historical prices to predict the future IMC SA's volatility.| Risk Adjusted Performance | 0.0654 | |||
| Jensen Alpha | 0.2147 | |||
| Total Risk Alpha | (0.30) | |||
| Sortino Ratio | 0.0358 | |||
| Treynor Ratio | 2.39 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IMC SA's 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.
IMC SA Backtested Returns
Currently, IMC SA is somewhat reliable. IMC SA retains Efficiency (Sharpe Ratio) of 0.0187, which attests that the entity had a 0.0187% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for IMC SA, which you can use to evaluate the volatility of the firm. Please check out IMC SA's Semi Deviation of 2.4, downside deviation of 2.77, and Market Risk Adjusted Performance of 2.4 to validate if the risk estimate we provide is consistent with the expected return of 0.0571%. IMC SA has a performance score of 1 on a scale of 0 to 100. The company owns a Beta (Systematic Risk) of 0.095, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IMC SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding IMC SA is expected to be smaller as well. IMC SA now owns a risk of 3.06%. Please check out IMC SA potential upside, rate of daily change, and the relationship between the sortino ratio and skewness , to decide if IMC SA will be following its current price history.
Auto-correlation | 0.14 |
Insignificant predictability
IMC SA has insignificant predictability. Overlapping area represents the amount of predictability between IMC SA time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 IMC SA price movement. The serial correlation of 0.14 indicates that less than 14.0% of current IMC SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.14 | |
| Spearman Rank Test | 0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
IMC SA lagged returns against current returns
Autocorrelation, which is IMC SA 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 IMC SA's stock expected returns. We can calculate the autocorrelation of IMC SA returns to help us make a trade decision. For example, suppose you find that IMC SA 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 |
IMC SA 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 IMC SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IMC SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IMC SA stock over time.
Current vs Lagged Prices |
| Timeline |
IMC SA Lagged Returns
When evaluating IMC SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IMC SA stock have on its future price. IMC SA 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, IMC SA autocorrelation shows the relationship between IMC SA stock current value and its past values and can show if there is a momentum factor associated with investing in IMC SA.
Regressed Prices |
| Timeline |
Pair Trading with IMC SA
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 IMC SA 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 IMC SA will appreciate offsetting losses from the drop in the long position's value.Moving against IMC Stock
| 0.81 | KGH | KGHM Polska Miedz | PairCorr |
| 0.57 | PCO | Pepco Group BV | PairCorr |
| 0.44 | UCG | UniCredit SpA | PairCorr |
| 0.42 | SAN | Banco Santander SA | PairCorr |
| 0.38 | ALE | Allegroeu SA | PairCorr |
The ability to find closely correlated positions to IMC SA could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IMC SA 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 IMC SA - 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 IMC SA to buy it.
The correlation of IMC SA 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 IMC SA moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if IMC SA 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 IMC SA 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.Additional Tools for IMC Stock Analysis
When running IMC SA's price analysis, check to measure IMC SA's 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 IMC SA is operating at the current time. Most of IMC SA's value examination focuses on studying past and present price action to predict the probability of IMC SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move IMC SA's price. Additionally, you may evaluate how the addition of IMC SA to your portfolios can decrease your overall portfolio volatility.