IMPERIAL TOBACCO (Germany) Market Value
| ITB Stock | EUR 30.51 0.27 0.89% |
| Symbol | IMPERIAL |
IMPERIAL TOBACCO '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 TOBACCO'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 IMPERIAL TOBACCO.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in IMPERIAL TOBACCO on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding IMPERIAL TOBACCO or generate 0.0% return on investment in IMPERIAL TOBACCO over 510 days. IMPERIAL TOBACCO is related to or competes with Apple, Apple, Microsoft, and Microsoft. More
IMPERIAL TOBACCO 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 TOBACCO'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 IMPERIAL TOBACCO upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.05 | |||
| Information Ratio | 0.1492 | |||
| Maximum Drawdown | 5.85 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 2.65 |
IMPERIAL TOBACCO Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IMPERIAL TOBACCO's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IMPERIAL TOBACCO's standard deviation. In reality, there are many statistical measures that can use IMPERIAL TOBACCO historical prices to predict the future IMPERIAL TOBACCO's volatility.| Risk Adjusted Performance | 0.1984 | |||
| Jensen Alpha | 0.257 | |||
| Total Risk Alpha | 0.1113 | |||
| Sortino Ratio | 0.1739 | |||
| Treynor Ratio | 0.8161 |
IMPERIAL TOBACCO Backtested Returns
IMPERIAL TOBACCO appears to be very steady, given 3 months investment horizon. IMPERIAL TOBACCO holds Efficiency (Sharpe) Ratio of 0.24, which attests that the entity had a 0.24% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for IMPERIAL TOBACCO, which you can use to evaluate the volatility of the firm. Please utilize IMPERIAL TOBACCO's risk adjusted performance of 0.1984, and Market Risk Adjusted Performance of 0.8261 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, IMPERIAL TOBACCO holds a performance score of 18. The company retains a Market Volatility (i.e., Beta) of 0.37, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IMPERIAL TOBACCO's returns are expected to increase less than the market. However, during the bear market, the loss of holding IMPERIAL TOBACCO is expected to be smaller as well. Please check IMPERIAL TOBACCO's sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to make a quick decision on whether IMPERIAL TOBACCO's current trending patterns will revert.
Auto-correlation | 0.48 |
Average predictability
IMPERIAL TOBACCO has average predictability. Overlapping area represents the amount of predictability between IMPERIAL TOBACCO time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 IMPERIAL TOBACCO price movement. The serial correlation of 0.48 indicates that about 48.0% of current IMPERIAL TOBACCO price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 7.45 |
IMPERIAL TOBACCO lagged returns against current returns
Autocorrelation, which is IMPERIAL TOBACCO 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 TOBACCO's stock expected returns. We can calculate the autocorrelation of IMPERIAL TOBACCO returns to help us make a trade decision. For example, suppose you find that IMPERIAL TOBACCO 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 |
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IMPERIAL TOBACCO 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 TOBACCO stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IMPERIAL TOBACCO stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IMPERIAL TOBACCO stock over time.
Current vs Lagged Prices |
| Timeline |
IMPERIAL TOBACCO Lagged Returns
When evaluating IMPERIAL TOBACCO's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IMPERIAL TOBACCO stock have on its future price. IMPERIAL TOBACCO 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 TOBACCO autocorrelation shows the relationship between IMPERIAL TOBACCO stock current value and its past values and can show if there is a momentum factor associated with investing in IMPERIAL TOBACCO .
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for IMPERIAL Stock Analysis
When running IMPERIAL TOBACCO's price analysis, check to measure IMPERIAL TOBACCO'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 IMPERIAL TOBACCO is operating at the current time. Most of IMPERIAL TOBACCO's value examination focuses on studying past and present price action to predict the probability of IMPERIAL TOBACCO's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move IMPERIAL TOBACCO's price. Additionally, you may evaluate how the addition of IMPERIAL TOBACCO to your portfolios can decrease your overall portfolio volatility.