Philip Morris (Czech Republic) Market Value
| TABAK Stock | CZK 17,220 20.00 0.12% |
| Symbol | Philip |
Philip Morris '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 Philip Morris' 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 Philip Morris.
| 01/26/2025 |
| 02/25/2025 |
If you would invest 0.00 in Philip Morris on January 26, 2025 and sell it all today you would earn a total of 0.00 from holding Philip Morris CR or generate 0.0% return on investment in Philip Morris over 30 days. Philip Morris is related to or competes with Erste Group, Komercni Banka, and Vienna Insurance. Philip Morris CR a.s., together with its subsidiary Philip Morris Slovakia s.r.o., produces, sells, distributes, and mar... More
Philip Morris 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 Philip Morris' 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 Philip Morris CR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7253 | |||
| Information Ratio | 0.1409 | |||
| Maximum Drawdown | 3.65 | |||
| Value At Risk | (1.02) | |||
| Potential Upside | 1.15 |
Philip Morris Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Philip Morris' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Philip Morris' standard deviation. In reality, there are many statistical measures that can use Philip Morris historical prices to predict the future Philip Morris' volatility.| Risk Adjusted Performance | 0.1195 | |||
| Jensen Alpha | 0.0919 | |||
| Total Risk Alpha | 0.0875 | |||
| Sortino Ratio | 0.1195 | |||
| Treynor Ratio | (1.85) |
Philip Morris CR Backtested Returns
Currently, Philip Morris CR is very steady. Philip Morris CR maintains Sharpe Ratio (i.e., Efficiency) of 0.17, which implies the firm had a 0.17 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Philip Morris CR, which you can use to evaluate the volatility of the company. Please check Philip Morris' Risk Adjusted Performance of 0.1195, coefficient of variation of 605.19, and Semi Deviation of 0.5017 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. Philip Morris has a performance score of 13 on a scale of 0 to 100. The company holds a Beta of -0.0496, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Philip Morris are expected to decrease at a much lower rate. During the bear market, Philip Morris is likely to outperform the market. Philip Morris CR right now holds a risk of 0.62%. Please check Philip Morris CR total risk alpha, downside variance, daily balance of power, as well as the relationship between the maximum drawdown and skewness , to decide if Philip Morris CR will be following its historical price patterns.
Auto-correlation | -0.37 |
Poor reverse predictability
Philip Morris CR has poor reverse predictability. Overlapping area represents the amount of predictability between Philip Morris time series from 26th of January 2025 to 10th of February 2025 and 10th of February 2025 to 25th of February 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 Philip Morris CR price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Philip Morris price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 19.9 K |
Philip Morris CR lagged returns against current returns
Autocorrelation, which is Philip Morris 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 Philip Morris' stock expected returns. We can calculate the autocorrelation of Philip Morris returns to help us make a trade decision. For example, suppose you find that Philip Morris 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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Philip Morris 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 Philip Morris stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Philip Morris stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Philip Morris stock over time.
Current vs Lagged Prices |
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Philip Morris Lagged Returns
When evaluating Philip Morris' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Philip Morris stock have on its future price. Philip Morris 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, Philip Morris autocorrelation shows the relationship between Philip Morris stock current value and its past values and can show if there is a momentum factor associated with investing in Philip Morris CR.
Regressed Prices |
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Pair Trading with Philip Morris
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 Philip Morris 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 Philip Morris will appreciate offsetting losses from the drop in the long position's value.Moving together with Philip Stock
Moving against Philip Stock
The ability to find closely correlated positions to Philip Morris could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Philip Morris 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 Philip Morris - 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 Philip Morris CR to buy it.
The correlation of Philip Morris 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 Philip Morris moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Philip Morris CR 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 Philip Morris 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 Philip Stock Analysis
When running Philip Morris' price analysis, check to measure Philip Morris' 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 Philip Morris is operating at the current time. Most of Philip Morris' value examination focuses on studying past and present price action to predict the probability of Philip Morris' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Philip Morris' price. Additionally, you may evaluate how the addition of Philip Morris to your portfolios can decrease your overall portfolio volatility.