Impresa Sociedade (Portugal) Market Value
| IPR Stock | EUR 0.12 0.01 9.09% |
| Symbol | Impresa |
Impresa Sociedade '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 Impresa Sociedade'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 Impresa Sociedade.
| 06/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Impresa Sociedade on June 9, 2023 and sell it all today you would earn a total of 0.00 from holding Impresa Sociedade or generate 0.0% return on investment in Impresa Sociedade over 540 days. Impresa Sociedade is related to or competes with Mota Engil, Martifer SGPS, Altri SGPS, and Sonae SGPS. Impresa - Sociedade Gestora de Participaes Sociais, S.A., through its subsidiaries, operates in the media industry in Po... More
Impresa Sociedade 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 Impresa Sociedade'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 Impresa Sociedade upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 16.67 | |||
| Value At Risk | (7.69) | |||
| Potential Upside | 8.33 |
Impresa Sociedade Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Impresa Sociedade's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Impresa Sociedade's standard deviation. In reality, there are many statistical measures that can use Impresa Sociedade historical prices to predict the future Impresa Sociedade's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.59) | |||
| Treynor Ratio | 0.3991 |
Impresa Sociedade Backtested Returns
Impresa Sociedade holds Efficiency (Sharpe) Ratio of -0.0251, which attests that the entity had a -0.0251% return per unit of risk over the last 3 months. Impresa Sociedade exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Impresa Sociedade's Risk Adjusted Performance of (0.01), standard deviation of 3.03, and Market Risk Adjusted Performance of 0.4091 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.22, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Impresa Sociedade are expected to decrease at a much lower rate. During the bear market, Impresa Sociedade is likely to outperform the market. At this point, Impresa Sociedade has a negative expected return of -0.0759%. Please make sure to check out Impresa Sociedade's maximum drawdown and the relationship between the kurtosis and period momentum indicator , to decide if Impresa Sociedade performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.69 |
Good predictability
Impresa Sociedade has good predictability. Overlapping area represents the amount of predictability between Impresa Sociedade time series from 9th of June 2023 to 5th of March 2024 and 5th of March 2024 to 30th 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 Impresa Sociedade price movement. The serial correlation of 0.69 indicates that around 69.0% of current Impresa Sociedade price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Impresa Sociedade lagged returns against current returns
Autocorrelation, which is Impresa Sociedade 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 Impresa Sociedade's stock expected returns. We can calculate the autocorrelation of Impresa Sociedade returns to help us make a trade decision. For example, suppose you find that Impresa Sociedade 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 |
Impresa Sociedade 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 Impresa Sociedade stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Impresa Sociedade stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Impresa Sociedade stock over time.
Current vs Lagged Prices |
| Timeline |
Impresa Sociedade Lagged Returns
When evaluating Impresa Sociedade's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Impresa Sociedade stock have on its future price. Impresa Sociedade 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, Impresa Sociedade autocorrelation shows the relationship between Impresa Sociedade stock current value and its past values and can show if there is a momentum factor associated with investing in Impresa Sociedade.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Impresa Stock Analysis
When running Impresa Sociedade's price analysis, check to measure Impresa Sociedade'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 Impresa Sociedade is operating at the current time. Most of Impresa Sociedade's value examination focuses on studying past and present price action to predict the probability of Impresa Sociedade's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Impresa Sociedade's price. Additionally, you may evaluate how the addition of Impresa Sociedade to your portfolios can decrease your overall portfolio volatility.