IMMOFINANZ (Austria) Market Value
| IIA Stock | EUR 23.25 0.30 1.27% |
| Symbol | IMMOFINANZ |
IMMOFINANZ '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 IMMOFINANZ'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 IMMOFINANZ.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in IMMOFINANZ on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding IMMOFINANZ AG or generate 0.0% return on investment in IMMOFINANZ over 30 days. IMMOFINANZ is related to or competes with CA Immobilien, S IMMO, Voestalpine, Raiffeisen Bank, and UNIQA Insurance. IMMOFINANZ AG acquires, develops, owns, rents, and manages properties primarily in Austria, Germany, Poland, the Czech R... More
IMMOFINANZ 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 IMMOFINANZ'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 IMMOFINANZ AG upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.13 | |||
| Information Ratio | 0.0646 | |||
| Maximum Drawdown | 5.63 | |||
| Value At Risk | (0.94) | |||
| Potential Upside | 1.31 |
IMMOFINANZ Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IMMOFINANZ's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IMMOFINANZ's standard deviation. In reality, there are many statistical measures that can use IMMOFINANZ historical prices to predict the future IMMOFINANZ's volatility.| Risk Adjusted Performance | 0.1149 | |||
| Jensen Alpha | 0.1511 | |||
| Total Risk Alpha | 0.0259 | |||
| Sortino Ratio | 0.0469 | |||
| Treynor Ratio | (0.94) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IMMOFINANZ'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.
IMMOFINANZ AG Backtested Returns
We consider IMMOFINANZ very steady. IMMOFINANZ AG holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had a 0.14% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for IMMOFINANZ AG, which you can use to evaluate the volatility of the firm. Please check out IMMOFINANZ's risk adjusted performance of 0.1149, and Market Risk Adjusted Performance of (0.93) to validate if the risk estimate we provide is consistent with the expected return of 0.12%. IMMOFINANZ has a performance score of 11 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.15, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning IMMOFINANZ are expected to decrease at a much lower rate. During the bear market, IMMOFINANZ is likely to outperform the market. IMMOFINANZ AG currently retains a risk of 0.85%. Please check out IMMOFINANZ total risk alpha, downside variance, daily balance of power, as well as the relationship between the maximum drawdown and skewness , to decide if IMMOFINANZ will be following its current trending patterns.
Auto-correlation | -0.19 |
Insignificant reverse predictability
IMMOFINANZ AG has insignificant reverse predictability. Overlapping area represents the amount of predictability between IMMOFINANZ time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 IMMOFINANZ AG price movement. The serial correlation of -0.19 indicates that over 19.0% of current IMMOFINANZ price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
IMMOFINANZ AG lagged returns against current returns
Autocorrelation, which is IMMOFINANZ 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 IMMOFINANZ's stock expected returns. We can calculate the autocorrelation of IMMOFINANZ returns to help us make a trade decision. For example, suppose you find that IMMOFINANZ 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 |
IMMOFINANZ 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 IMMOFINANZ stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IMMOFINANZ stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IMMOFINANZ stock over time.
Current vs Lagged Prices |
| Timeline |
IMMOFINANZ Lagged Returns
When evaluating IMMOFINANZ's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IMMOFINANZ stock have on its future price. IMMOFINANZ 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, IMMOFINANZ autocorrelation shows the relationship between IMMOFINANZ stock current value and its past values and can show if there is a momentum factor associated with investing in IMMOFINANZ AG.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out IMMOFINANZ Correlation, IMMOFINANZ Volatility and IMMOFINANZ Alpha and Beta module to complement your research on IMMOFINANZ. Note that the IMMOFINANZ AG information on this page should be used as a complementary analysis to other IMMOFINANZ's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Complementary Tools for IMMOFINANZ Stock analysis
When running IMMOFINANZ's price analysis, check to measure IMMOFINANZ'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 IMMOFINANZ is operating at the current time. Most of IMMOFINANZ's value examination focuses on studying past and present price action to predict the probability of IMMOFINANZ's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move IMMOFINANZ's price. Additionally, you may evaluate how the addition of IMMOFINANZ to your portfolios can decrease your overall portfolio volatility.
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