PHILIP MORRIS INTL Market Value
| 718172AU3 | 82.10 3.20 4.06% |
| Symbol | PHILIP |
PHILIP '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's bond 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.
| 05/06/2024 |
| 06/05/2024 |
If you would invest 0.00 in PHILIP on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding PHILIP MORRIS INTL or generate 0.0% return on investment in PHILIP over 30 days. PHILIP is related to or competes with 00108WAF7, 90331HPL1, McKesson, AeroVironment, Tutor Perini, Newmont Goldcorp, and Microsoft. More
PHILIP 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's bond 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 INTL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8922 | |||
| Information Ratio | 0.0166 | |||
| Maximum Drawdown | 3.85 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.42 |
PHILIP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PHILIP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PHILIP's standard deviation. In reality, there are many statistical measures that can use PHILIP historical prices to predict the future PHILIP's volatility.| Risk Adjusted Performance | 0.0274 | |||
| Jensen Alpha | 0.0225 | |||
| Total Risk Alpha | 0.0106 | |||
| Sortino Ratio | 0.0155 | |||
| Treynor Ratio | 0.3063 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PHILIP'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.
PHILIP MORRIS INTL Backtested Returns
PHILIP MORRIS INTL maintains Sharpe Ratio (i.e., Efficiency) of -0.0109, which implies the entity had a -0.0109% return per unit of volatility over the last 3 months. PHILIP MORRIS INTL exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PHILIP's semi deviation of 0.8428, and Risk Adjusted Performance of 0.0274 to confirm the risk estimate we provide. The bond holds a Beta of 0.0759, which implies not very significant fluctuations relative to the market. As returns on the market increase, PHILIP's returns are expected to increase less than the market. However, during the bear market, the loss of holding PHILIP is expected to be smaller as well.
Auto-correlation | 0.42 |
Average predictability
PHILIP MORRIS INTL has average predictability. Overlapping area represents the amount of predictability between PHILIP time series from 6th of May 2024 to 21st of May 2024 and 21st of May 2024 to 5th of June 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 PHILIP MORRIS INTL price movement. The serial correlation of 0.42 indicates that just about 42.0% of current PHILIP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 1.61 |
PHILIP MORRIS INTL lagged returns against current returns
Autocorrelation, which is PHILIP bond'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's bond expected returns. We can calculate the autocorrelation of PHILIP returns to help us make a trade decision. For example, suppose you find that PHILIP has exhibited high autocorrelation historically, and you observe that the bond 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 |
PHILIP 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 bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PHILIP bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PHILIP bond over time.
Current vs Lagged Prices |
| Timeline |
PHILIP Lagged Returns
When evaluating PHILIP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PHILIP bond have on its future price. PHILIP 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 autocorrelation shows the relationship between PHILIP bond current value and its past values and can show if there is a momentum factor associated with investing in PHILIP MORRIS INTL.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in PHILIP Bond
PHILIP financial ratios help investors to determine whether PHILIP Bond 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 PHILIP with respect to the benefits of owning PHILIP security.