Immobiliere Dassault (France) Market Value
| IMDA Stock | EUR 48.30 0.30 0.62% |
| Symbol | Immobiliere |
Immobiliere Dassault '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 Immobiliere Dassault'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 Immobiliere Dassault.
| 04/01/2024 |
| 05/01/2024 |
If you would invest 0.00 in Immobiliere Dassault on April 1, 2024 and sell it all today you would earn a total of 0.00 from holding Immobiliere Dassault SA or generate 0.0% return on investment in Immobiliere Dassault over 30 days. Immobiliere Dassault is related to or competes with Fonciere Inea, Societe De, and Selectirente. Immobiliere Dassault SA, a real estate company, owns and manages office and residential real estate properties More
Immobiliere Dassault 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 Immobiliere Dassault'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 Immobiliere Dassault SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8496 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.78 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.31 |
Immobiliere Dassault Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Immobiliere Dassault's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Immobiliere Dassault's standard deviation. In reality, there are many statistical measures that can use Immobiliere Dassault historical prices to predict the future Immobiliere Dassault's volatility.| Risk Adjusted Performance | 0.033 | |||
| Jensen Alpha | 0.0313 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 2.32 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Immobiliere Dassault's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Immobiliere Dassault Backtested Returns
We consider Immobiliere Dassault very steady. Immobiliere Dassault holds Efficiency (Sharpe) Ratio of 0.0192, which attests that the entity had a 0.0192% return per unit of risk over the last 3 months. We have found thirty technical indicators for Immobiliere Dassault, which you can use to evaluate the volatility of the firm. Please check out Immobiliere Dassault's Risk Adjusted Performance of 0.033, market risk adjusted performance of 2.33, and Downside Deviation of 0.8496 to validate if the risk estimate we provide is consistent with the expected return of 0.0171%. Immobiliere Dassault has a performance score of 1 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of 0.0138, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Immobiliere Dassault's returns are expected to increase less than the market. However, during the bear market, the loss of holding Immobiliere Dassault is expected to be smaller as well. Immobiliere Dassault right now retains a risk of 0.89%. Please check out Immobiliere Dassault total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to decide if Immobiliere Dassault will be following its current trending patterns.
Auto-correlation | -0.51 |
Good reverse predictability
Immobiliere Dassault SA has good reverse predictability. Overlapping area represents the amount of predictability between Immobiliere Dassault time series from 1st of April 2024 to 16th of April 2024 and 16th of April 2024 to 1st of May 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 Immobiliere Dassault price movement. The serial correlation of -0.51 indicates that about 51.0% of current Immobiliere Dassault price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.51 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 1.41 |
Immobiliere Dassault lagged returns against current returns
Autocorrelation, which is Immobiliere Dassault 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 Immobiliere Dassault's stock expected returns. We can calculate the autocorrelation of Immobiliere Dassault returns to help us make a trade decision. For example, suppose you find that Immobiliere Dassault 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 |
Immobiliere Dassault 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 Immobiliere Dassault stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Immobiliere Dassault stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Immobiliere Dassault stock over time.
Current vs Lagged Prices |
| Timeline |
Immobiliere Dassault Lagged Returns
When evaluating Immobiliere Dassault's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Immobiliere Dassault stock have on its future price. Immobiliere Dassault 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, Immobiliere Dassault autocorrelation shows the relationship between Immobiliere Dassault stock current value and its past values and can show if there is a momentum factor associated with investing in Immobiliere Dassault SA.
Regressed Prices |
| Timeline |
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Complementary Tools for Immobiliere Stock analysis
When running Immobiliere Dassault's price analysis, check to measure Immobiliere Dassault'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 Immobiliere Dassault is operating at the current time. Most of Immobiliere Dassault's value examination focuses on studying past and present price action to predict the probability of Immobiliere Dassault's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Immobiliere Dassault's price. Additionally, you may evaluate how the addition of Immobiliere Dassault to your portfolios can decrease your overall portfolio volatility.
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