Immobel (Belgium) Market Value
| IMMO Stock | EUR 16.54 0.16 0.96% |
| Symbol | Immobel |
Immobel '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 Immobel'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 Immobel.
| 06/12/2023 |
| 12/03/2024 |
If you would invest 0.00 in Immobel on June 12, 2023 and sell it all today you would earn a total of 0.00 from holding Immobel or generate 0.0% return on investment in Immobel over 540 days. Immobel is related to or competes with Cofinimmo, Atenor SA, GIMV NV, Aedifica, and VGP NV. IMMOBEL SA engages in the real estate development activities in Belgium, Grand-Duchy of Luxemburg, Poland, France, Spain... More
Immobel 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 Immobel'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 Immobel upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 8.78 | |||
| Value At Risk | (3.14) | |||
| Potential Upside | 2.3 |
Immobel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Immobel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Immobel's standard deviation. In reality, there are many statistical measures that can use Immobel historical prices to predict the future Immobel's volatility.| Risk Adjusted Performance | (0.26) | |||
| Jensen Alpha | (0.56) | |||
| Total Risk Alpha | (0.80) | |||
| Treynor Ratio | (23.62) |
Immobel Backtested Returns
Immobel holds Efficiency (Sharpe) Ratio of -0.33, which attests that the entity had a -0.33% return per unit of risk over the last 3 months. Immobel exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Immobel's Risk Adjusted Performance of (0.26), standard deviation of 1.6, and Market Risk Adjusted Performance of (23.61) to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.0237, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Immobel's returns are expected to increase less than the market. However, during the bear market, the loss of holding Immobel is expected to be smaller as well. At this point, Immobel has a negative expected return of -0.53%. Please make sure to check out Immobel's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Immobel performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.66 |
Good predictability
Immobel has good predictability. Overlapping area represents the amount of predictability between Immobel time series from 12th of June 2023 to 8th of March 2024 and 8th of March 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 Immobel price movement. The serial correlation of 0.66 indicates that around 66.0% of current Immobel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 11.94 |
Immobel lagged returns against current returns
Autocorrelation, which is Immobel 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 Immobel's stock expected returns. We can calculate the autocorrelation of Immobel returns to help us make a trade decision. For example, suppose you find that Immobel 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 |
Immobel 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 Immobel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Immobel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Immobel stock over time.
Current vs Lagged Prices |
| Timeline |
Immobel Lagged Returns
When evaluating Immobel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Immobel stock have on its future price. Immobel 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, Immobel autocorrelation shows the relationship between Immobel stock current value and its past values and can show if there is a momentum factor associated with investing in Immobel.
Regressed Prices |
| Timeline |
Pair Trading with Immobel
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Immobel position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Immobel will appreciate offsetting losses from the drop in the long position's value.Moving together with Immobel Stock
Moving against Immobel Stock
The ability to find closely correlated positions to Immobel could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Immobel when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Immobel - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Immobel to buy it.
The correlation of Immobel is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Immobel moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Immobel moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Immobel can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Immobel Stock Analysis
When running Immobel's price analysis, check to measure Immobel'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 Immobel is operating at the current time. Most of Immobel's value examination focuses on studying past and present price action to predict the probability of Immobel's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Immobel's price. Additionally, you may evaluate how the addition of Immobel to your portfolios can decrease your overall portfolio volatility.