Impac Mortgage Holdings Stock Market Value
| IMPM Stock | 0.04 0.01 20.00% |
| Symbol | Impac |
Impac Mortgage '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 Impac Mortgage's pink sheet 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 Impac Mortgage.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Impac Mortgage on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Impac Mortgage Holdings or generate 0.0% return on investment in Impac Mortgage over 30 days.
Impac Mortgage 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 Impac Mortgage's pink sheet 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 Impac Mortgage Holdings upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 23.39 | |||
| Information Ratio | 0.0685 | |||
| Maximum Drawdown | 100.0 | |||
| Value At Risk | (25.00) | |||
| Potential Upside | 33.33 |
Impac Mortgage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Impac Mortgage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Impac Mortgage's standard deviation. In reality, there are many statistical measures that can use Impac Mortgage historical prices to predict the future Impac Mortgage's volatility.| Risk Adjusted Performance | 0.0672 | |||
| Jensen Alpha | 1.62 | |||
| Total Risk Alpha | (1.85) | |||
| Sortino Ratio | 0.0589 | |||
| Treynor Ratio | (1.73) |
Impac Mortgage Holdings Backtested Returns
Impac Mortgage is out of control given 3 months investment horizon. Impac Mortgage Holdings holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We were able to interpolate data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 2.19% are justified by taking the suggested risk. Use Impac Mortgage Holdings Risk Adjusted Performance of 0.0672, market risk adjusted performance of (1.72), and Downside Deviation of 23.39 to evaluate company specific risk that cannot be diversified away. Impac Mortgage holds a performance score of 8 on a scale of zero to a hundred. The company retains a Market Volatility (i.e., Beta) of -0.87, which attests to possible diversification benefits within a given portfolio. As the market becomes more bullish, returns on owning Impac Mortgage are expected to decrease slowly. On the other hand, during market turmoil, Impac Mortgage is expected to outperform it slightly. Use Impac Mortgage Holdings maximum drawdown and the relationship between the expected short fall and period momentum indicator , to analyze future returns on Impac Mortgage Holdings.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
Impac Mortgage Holdings has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Impac Mortgage time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Impac Mortgage Holdings price movement. The serial correlation of -0.75 indicates that around 75.0% of current Impac Mortgage price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Impac Mortgage Holdings lagged returns against current returns
Autocorrelation, which is Impac Mortgage pink sheet'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 Impac Mortgage's pink sheet expected returns. We can calculate the autocorrelation of Impac Mortgage returns to help us make a trade decision. For example, suppose you find that Impac Mortgage has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Impac Mortgage 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 Impac Mortgage pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Impac Mortgage pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Impac Mortgage pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Impac Mortgage Lagged Returns
When evaluating Impac Mortgage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Impac Mortgage pink sheet have on its future price. Impac Mortgage 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, Impac Mortgage autocorrelation shows the relationship between Impac Mortgage pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Impac Mortgage Holdings.
Regressed Prices |
| Timeline |
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