Imperial Brands (UK) Market Value
| IMB Stock | 2,602 3.00 0.12% |
| 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.
| 10/24/2024 |
| 01/22/2025 |
If you would invest 0.00 in Imperial Brands on October 24, 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 90 days. Imperial Brands is related to or competes with Charter Communications, Ecclesiastical Insurance, Silvercorp Metals, Batm Advanced, Air Products, Zoom Video, and Orient Telecoms. 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 | 0.9252 | |||
| Information Ratio | 0.2074 | |||
| Maximum Drawdown | 5.01 | |||
| Value At Risk | (0.97) | |||
| Potential Upside | 1.58 |
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 | 0.2067 | |||
| Jensen Alpha | 0.2325 | |||
| Total Risk Alpha | 0.1995 | |||
| Sortino Ratio | 0.2201 | |||
| Treynor Ratio | (1.62) |
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 0.24, which attests that the entity had a 0.24 % 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' Market Risk Adjusted Performance of (1.61), risk adjusted performance of 0.2067, and Downside Deviation of 0.9252 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 19. The company retains a Market Volatility (i.e., Beta) of -0.14, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Imperial Brands are expected to decrease at a much lower rate. During the bear market, Imperial Brands is likely to outperform the market. Please check Imperial Brands' value at risk, expected short fall, and the relationship between the treynor ratio and downside variance , to make a quick decision on whether Imperial Brands' current trending patterns will revert.
Auto-correlation | 0.39 |
Below average predictability
Imperial Brands PLC has below average predictability. Overlapping area represents the amount of predictability between Imperial Brands time series from 24th of October 2024 to 8th of December 2024 and 8th of December 2024 to 22nd of January 2025. 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 0.39 indicates that just about 39.0% of current Imperial Brands price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 507.69 |
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 |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.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.