Japan Tobacco Stock Market Value
| JAPAF Stock | USD 26.20 1.15 4.20% |
| Symbol | Japan |
Japan Tobacco '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 Japan Tobacco's pink sheet 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 Japan Tobacco.
| 09/30/2024 |
| 10/30/2024 |
If you would invest 0.00 in Japan Tobacco on September 30, 2024 and sell it all today you would earn a total of 0.00 from holding Japan Tobacco or generate 0.0% return on investment in Japan Tobacco over 30 days. Japan Tobacco is related to or competes with Imperial Brands, RLX Technology, British Amer, Turning Point, Imperial Brands, Universal, and Philip Morris. Japan Tobacco Inc., a tobacco company, manufactures and sells tobacco products, prescription drugs, and processed foods ... More
Japan Tobacco 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 Japan Tobacco's pink sheet 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 Japan Tobacco upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 6.8 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 19.67 | |||
| Value At Risk | (4.93) | |||
| Potential Upside | 6.64 |
Japan Tobacco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Japan Tobacco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Japan Tobacco's standard deviation. In reality, there are many statistical measures that can use Japan Tobacco historical prices to predict the future Japan Tobacco's volatility.| Risk Adjusted Performance | 0.0083 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Japan Tobacco'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.
Japan Tobacco Backtested Returns
Japan Tobacco holds Efficiency (Sharpe) Ratio of -0.0429, which attests that the entity had a -0.0429% return per unit of risk over the last 3 months. Japan Tobacco exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Japan Tobacco's Market Risk Adjusted Performance of 0.0045, downside deviation of 6.8, and Risk Adjusted Performance of 0.0083 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 1.3, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Japan Tobacco will likely underperform. At this point, Japan Tobacco has a negative expected return of -0.14%. Please make sure to check out Japan Tobacco's semi variance, day median price, and the relationship between the value at risk and kurtosis , to decide if Japan Tobacco performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.31 |
Below average predictability
Japan Tobacco has below average predictability. Overlapping area represents the amount of predictability between Japan Tobacco time series from 30th of September 2024 to 15th of October 2024 and 15th of October 2024 to 30th of October 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 Japan Tobacco price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Japan Tobacco price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 2.79 |
Japan Tobacco lagged returns against current returns
Autocorrelation, which is Japan Tobacco pink sheet'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 Japan Tobacco's pink sheet expected returns. We can calculate the autocorrelation of Japan Tobacco returns to help us make a trade decision. For example, suppose you find that Japan Tobacco has exhibited high autocorrelation historically, and you observe that the pink sheet 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 |
Japan Tobacco 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 Japan Tobacco pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Japan Tobacco pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Japan Tobacco pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Japan Tobacco Lagged Returns
When evaluating Japan Tobacco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Japan Tobacco pink sheet have on its future price. Japan Tobacco 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, Japan Tobacco autocorrelation shows the relationship between Japan Tobacco pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Japan Tobacco.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Japan Pink Sheet
Japan Tobacco financial ratios help investors to determine whether Japan Pink Sheet 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 Japan with respect to the benefits of owning Japan Tobacco security.