Imerys SA (France) Market Value
| NK Stock | EUR 35.44 0.10 0.28% |
| Symbol | Imerys |
Imerys SA '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 Imerys SA'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 Imerys SA.
| 02/18/2024 |
| 05/18/2024 |
If you would invest 0.00 in Imerys SA on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Imerys SA or generate 0.0% return on investment in Imerys SA over 90 days. Imerys SA is related to or competes with Rubis SCA, Eramet SA, Nexity, Compagnie, and Socit BIC. Imerys S.A. provides mineral-based specialty solutions for various industries worldwide More
Imerys SA 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 Imerys SA'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 Imerys SA upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.78 | |||
| Information Ratio | 0.0617 | |||
| Maximum Drawdown | 14.29 | |||
| Value At Risk | (2.86) | |||
| Potential Upside | 2.75 |
Imerys SA Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Imerys SA's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Imerys SA's standard deviation. In reality, there are many statistical measures that can use Imerys SA historical prices to predict the future Imerys SA's volatility.| Risk Adjusted Performance | 0.069 | |||
| Jensen Alpha | 0.1709 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | 0.0794 | |||
| Treynor Ratio | 0.3442 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Imerys SA'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.
Imerys SA Backtested Returns
Imerys SA appears to be very steady, given 3 months investment horizon. Imerys SA holds Efficiency (Sharpe) Ratio of 0.0895, which attests that the entity had a 0.0895% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Imerys SA, which you can use to evaluate the volatility of the firm. Please utilize Imerys SA's Risk Adjusted Performance of 0.069, market risk adjusted performance of 0.3542, and Downside Deviation of 1.78 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Imerys SA holds a performance score of 6. The company retains a Market Volatility (i.e., Beta) of 0.67, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Imerys SA's returns are expected to increase less than the market. However, during the bear market, the loss of holding Imerys SA is expected to be smaller as well. Please check Imerys SA's coefficient of variation, sortino ratio, potential upside, as well as the relationship between the jensen alpha and maximum drawdown , to make a quick decision on whether Imerys SA's current trending patterns will revert.
Auto-correlation | 0.40 |
Average predictability
Imerys SA has average predictability. Overlapping area represents the amount of predictability between Imerys SA time series from 18th of February 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Imerys SA price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Imerys SA price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 6.08 |
Imerys SA lagged returns against current returns
Autocorrelation, which is Imerys SA 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 Imerys SA's stock expected returns. We can calculate the autocorrelation of Imerys SA returns to help us make a trade decision. For example, suppose you find that Imerys SA 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 |
Imerys SA 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 Imerys SA stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Imerys SA stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Imerys SA stock over time.
Current vs Lagged Prices |
| Timeline |
Imerys SA Lagged Returns
When evaluating Imerys SA's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Imerys SA stock have on its future price. Imerys SA 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, Imerys SA autocorrelation shows the relationship between Imerys SA stock current value and its past values and can show if there is a momentum factor associated with investing in Imerys SA.
Regressed Prices |
| Timeline |
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Check out Imerys SA Correlation, Imerys SA Volatility and Imerys SA Alpha and Beta module to complement your research on Imerys SA. You can also try the Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Complementary Tools for Imerys Stock analysis
When running Imerys SA's price analysis, check to measure Imerys SA'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 Imerys SA is operating at the current time. Most of Imerys SA's value examination focuses on studying past and present price action to predict the probability of Imerys SA's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Imerys SA's price. Additionally, you may evaluate how the addition of Imerys SA to your portfolios can decrease your overall portfolio volatility.
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Imerys SA technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.