Imperial Brands (Germany) Market Value
| ITB Stock | EUR 33.78 0.10 0.30% |
| 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.
| 04/24/2025 |
| 07/23/2025 |
If you would invest 0.00 in Imperial Brands on April 24, 2025 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 Philip Morris, Philip Morris, British American, British American, British American, Japan Tobacco, and JAPAN TOBACCO. Imperial Brands PLC, together with its subsidiaries, manufactures, imports, markets, and sells tobacco and tobacco-relat... 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.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 8.32 | |||
| Value At Risk | (1.88) | |||
| Potential Upside | 1.79 |
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 | 0.0012 | |||
| Jensen Alpha | 0.0433 | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | 0.0391 |
Imperial Brands PLC Backtested Returns
Imperial Brands PLC holds Efficiency (Sharpe) Ratio of -0.0327, which attests that the entity had a -0.0327 % return per unit of risk over the last 3 months. Imperial Brands PLC exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Imperial Brands' Standard Deviation of 1.34, market risk adjusted performance of 0.0491, and Risk Adjusted Performance of 0.0012 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.34, which attests to possible diversification benefits within a given portfolio. 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. At this point, Imperial Brands PLC has a negative expected return of -0.0444%. Please make sure to check out Imperial Brands' value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Imperial Brands PLC performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.81 |
Very good predictability
Imperial Brands PLC has very good predictability. Overlapping area represents the amount of predictability between Imperial Brands time series from 24th of April 2025 to 8th of June 2025 and 8th of June 2025 to 23rd of July 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 0.81 indicates that around 81.0% of current Imperial Brands price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.81 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.26 |
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 |
Currently Active Assets on Macroaxis
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.