Japan Tobacco (Germany) Market Value
| JAT Stock | EUR 26.20 0.27 1.02% |
| Symbol | Japan |
Japan 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 Japan 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 Japan Tobacco.
| 09/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Japan Tobacco on September 27, 2024 and sell it all today you would earn a total of 0.00 from holding Japan Tobacco or generate 0.0% return on investment in Japan Tobacco over 60 days. Japan Tobacco is related to or competes with Applied Materials, SANOK RUBBER, Entravision Communications, Universal Display, HEMISPHERE EGY, SCANSOURCE (SC3SG), and Materialise. Japan Tobacco Inc., a tobacco company, manufactures and sells tobacco products, prescription drugs, and processed food i... More
Japan 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 Japan 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 Japan Tobacco upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.47 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 5.87 | |||
| Value At Risk | (2.36) | |||
| Potential Upside | 2.27 |
Japan Tobacco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Japan Tobacco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Japan Tobacco's standard deviation. In reality, there are many statistical measures that can use Japan Tobacco historical prices to predict the future Japan Tobacco's volatility.| Risk Adjusted Performance | 0.0052 | |||
| Jensen Alpha | 0.0255 | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.0298 |
Japan Tobacco Backtested Returns
Japan Tobacco holds Efficiency (Sharpe) Ratio of -0.0014, which attests that the entity had a -0.0014% return per unit of risk over the last 3 months. Japan Tobacco exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Japan Tobacco's Downside Deviation of 1.47, risk adjusted performance of 0.0052, and Market Risk Adjusted Performance of 0.0398 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.29, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Japan Tobacco are expected to decrease at a much lower rate. During the bear market, Japan Tobacco is likely to outperform the market. At this point, Japan Tobacco has a negative expected return of -0.0019%. Please make sure to check out Japan Tobacco's value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to decide if Japan Tobacco performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.44 |
Modest reverse predictability
Japan Tobacco has modest reverse predictability. Overlapping area represents the amount of predictability between Japan Tobacco time series from 27th of September 2024 to 27th of October 2024 and 27th of October 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 Japan Tobacco price movement. The serial correlation of -0.44 indicates that just about 44.0% of current Japan Tobacco price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.44 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.17 |
Japan Tobacco lagged returns against current returns
Autocorrelation, which is Japan 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 Japan Tobacco's stock expected returns. We can calculate the autocorrelation of Japan Tobacco returns to help us make a trade decision. For example, suppose you find that Japan 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 |
| Timeline |
Japan 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 Japan Tobacco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Japan Tobacco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Japan Tobacco stock over time.
Current vs Lagged Prices |
| Timeline |
Japan Tobacco Lagged Returns
When evaluating Japan Tobacco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Japan Tobacco stock have on its future price. Japan 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, Japan Tobacco autocorrelation shows the relationship between Japan Tobacco stock current value and its past values and can show if there is a momentum factor associated with investing in Japan Tobacco.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Japan Stock
Japan Tobacco financial ratios help investors to determine whether Japan 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 Japan with respect to the benefits of owning Japan Tobacco security.