IMCD NV (Netherlands) Market Value
IMCD Stock | EUR 151.50 2.85 1.85% |
Symbol | IMCD |
IMCD NV '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 IMCD NV'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 IMCD NV.
03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in IMCD NV on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding IMCD NV or generate 0.0% return on investment in IMCD NV over 30 days. IMCD NV is related to or competes with TKH Group, Koninklijke Vopak, and SBM Offshore. IMCD N.V. distributes, markets, and sells specialty chemicals and ingredients in the Netherlands, rest of Europe, the Mi... More
IMCD NV 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 IMCD NV'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 IMCD NV upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.18 | |||
Information Ratio | 0.024 | |||
Maximum Drawdown | 10.71 | |||
Value At Risk | (2.04) | |||
Potential Upside | 1.85 |
IMCD NV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IMCD NV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IMCD NV's standard deviation. In reality, there are many statistical measures that can use IMCD NV historical prices to predict the future IMCD NV's volatility.Risk Adjusted Performance | 0.0602 | |||
Jensen Alpha | 0.1025 | |||
Total Risk Alpha | (0.08) | |||
Sortino Ratio | 0.0308 | |||
Treynor Ratio | 0.5451 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IMCD NV'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.
IMCD NV Backtested Returns
We consider IMCD NV very steady. IMCD NV retains Efficiency (Sharpe Ratio) of 0.0774, which attests that the entity had a 0.0774% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for IMCD NV, which you can use to evaluate the volatility of the firm. Please check out IMCD NV's Downside Deviation of 1.18, market risk adjusted performance of 0.5551, and Semi Deviation of 1.05 to validate if the risk estimate we provide is consistent with the expected return of 0.12%. IMCD NV has a performance score of 6 on a scale of 0 to 100. The company owns a Beta (Systematic Risk) of 0.22, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IMCD NV's returns are expected to increase less than the market. However, during the bear market, the loss of holding IMCD NV is expected to be smaller as well. IMCD NV now owns a risk of 1.56%. Please check out IMCD NV mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to decide if IMCD NV will be following its current price history.
Auto-correlation | 0.88 |
Very good predictability
IMCD NV has very good predictability. Overlapping area represents the amount of predictability between IMCD NV time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 IMCD NV price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current IMCD NV price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.88 | |
Spearman Rank Test | 0.84 | |
Residual Average | 0.0 | |
Price Variance | 3.35 |
IMCD NV lagged returns against current returns
Autocorrelation, which is IMCD NV 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 IMCD NV's stock expected returns. We can calculate the autocorrelation of IMCD NV returns to help us make a trade decision. For example, suppose you find that IMCD NV 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 |
IMCD NV 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 IMCD NV stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IMCD NV stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IMCD NV stock over time.
Current vs Lagged Prices |
Timeline |
IMCD NV Lagged Returns
When evaluating IMCD NV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IMCD NV stock have on its future price. IMCD NV 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, IMCD NV autocorrelation shows the relationship between IMCD NV stock current value and its past values and can show if there is a momentum factor associated with investing in IMCD NV.
Regressed Prices |
Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards IMCD NV in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, IMCD NV's short interest history, or implied volatility extrapolated from IMCD NV options trading.
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Complementary Tools for IMCD Stock analysis
When running IMCD NV's price analysis, check to measure IMCD NV'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 IMCD NV is operating at the current time. Most of IMCD NV's value examination focuses on studying past and present price action to predict the probability of IMCD NV's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move IMCD NV's price. Additionally, you may evaluate how the addition of IMCD NV to your portfolios can decrease your overall portfolio volatility.
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IMCD NV 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.