Imperial Brands (Germany) Market Value
| ITB Stock | EUR 30.83 0.23 0.74% |
| Symbol | Imperial |
Imperial Brands '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 Brands' 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 Brands.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Imperial Brands on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Imperial Brands PLC or generate 0.0% return on investment in Imperial Brands over 30 days. Imperial Brands is related to or competes with PACIFIC ONLINE, Mobilezone Holding, MUTUIONLINE, SALESFORCE INC, VIRGIN WINES, and Corporate Office. Imperial Brands PLC, together with its subsidiaries, manufactures, imports, markets, and sells tobacco and tobacco-relat... More
Imperial Brands 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 Brands' 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 Brands PLC upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.15 | |||
| Information Ratio | 0.1343 | |||
| Maximum Drawdown | 6.4 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 2.6 |
Imperial Brands Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Imperial Brands' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Imperial Brands' standard deviation. In reality, there are many statistical measures that can use Imperial Brands historical prices to predict the future Imperial Brands' volatility.| Risk Adjusted Performance | 0.1798 | |||
| Jensen Alpha | 0.2394 | |||
| Total Risk Alpha | 0.0944 | |||
| Sortino Ratio | 0.1514 | |||
| Treynor Ratio | 0.6702 |
Imperial Brands PLC Backtested Returns
Imperial Brands appears to be very steady, given 3 months investment horizon. Imperial Brands PLC holds Efficiency (Sharpe) Ratio of 0.21, which attests that the entity had a 0.21% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Imperial Brands PLC, which you can use to evaluate the volatility of the firm. Please utilize Imperial Brands' Risk Adjusted Performance of 0.1798, downside deviation of 1.15, and Market Risk Adjusted Performance of 0.6802 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Imperial Brands holds a performance score of 16. The company retains a Market Volatility (i.e., Beta) of 0.43, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Imperial Brands' returns are expected to increase less than the market. However, during the bear market, the loss of holding Imperial Brands is expected to be smaller as well. Please check Imperial Brands' sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to make a quick decision on whether Imperial Brands' current trending patterns will revert.
Auto-correlation | -0.02 |
Very weak reverse predictability
Imperial Brands PLC has very weak reverse predictability. Overlapping area represents the amount of predictability between Imperial Brands time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Imperial Brands PLC price movement. The serial correlation of -0.02 indicates that only 2.0% of current Imperial Brands price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.72 |
Imperial Brands PLC lagged returns against current returns
Autocorrelation, which is Imperial Brands 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 Brands' stock expected returns. We can calculate the autocorrelation of Imperial Brands returns to help us make a trade decision. For example, suppose you find that Imperial Brands 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 |
Imperial Brands 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 Brands stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Imperial Brands stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Imperial Brands stock over time.
Current vs Lagged Prices |
| Timeline |
Imperial Brands Lagged Returns
When evaluating Imperial Brands' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Imperial Brands stock have on its future price. Imperial Brands 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 Brands autocorrelation shows the relationship between Imperial Brands stock current value and its past values and can show if there is a momentum factor associated with investing in Imperial Brands PLC.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Imperial Stock
Imperial Brands financial ratios help investors to determine whether Imperial Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Imperial with respect to the benefits of owning Imperial Brands security.