PT Multitrend (Indonesia) Market Value
| BABY Stock | 302.00 4.00 1.31% |
| Symbol | BABY |
PT Multitrend '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 PT Multitrend'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 PT Multitrend.
| 09/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in PT Multitrend on September 25, 2024 and sell it all today you would earn a total of 0.00 from holding PT Multitrend Indo or generate 0.0% return on investment in PT Multitrend over 60 days.
PT Multitrend 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 PT Multitrend'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 PT Multitrend Indo upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.09 | |||
| Information Ratio | 0.1154 | |||
| Maximum Drawdown | 31.15 | |||
| Value At Risk | (5.42) | |||
| Potential Upside | 10.19 |
PT Multitrend Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PT Multitrend's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PT Multitrend's standard deviation. In reality, there are many statistical measures that can use PT Multitrend historical prices to predict the future PT Multitrend's volatility.| Risk Adjusted Performance | 0.1174 | |||
| Jensen Alpha | 0.5715 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.1384 | |||
| Treynor Ratio | 0.7218 |
PT Multitrend Indo Backtested Returns
PT Multitrend appears to be very steady, given 3 months investment horizon. PT Multitrend Indo retains Efficiency (Sharpe Ratio) of 0.14, which implies the firm had a 0.14% return per unit of price deviation over the last 3 months. By inspecting PT Multitrend's technical indicators, you can evaluate if the expected return of 0.67% is justified by implied risk. Please evaluate PT Multitrend's market risk adjusted performance of 0.7318, and Standard Deviation of 4.9 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, PT Multitrend holds a performance score of 10. The company owns a Beta (Systematic Risk) of 0.95, which implies possible diversification benefits within a given portfolio. PT Multitrend returns are very sensitive to returns on the market. As the market goes up or down, PT Multitrend is expected to follow. Please check PT Multitrend's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether PT Multitrend's current price history will revert.
Auto-correlation | 0.81 |
Very good predictability
PT Multitrend Indo has very good predictability. Overlapping area represents the amount of predictability between PT Multitrend time series from 25th of September 2024 to 25th of October 2024 and 25th of October 2024 to 24th of November 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 PT Multitrend Indo price movement. The serial correlation of 0.81 indicates that around 81.0% of current PT Multitrend price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.81 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 1055.5 |
PT Multitrend Indo lagged returns against current returns
Autocorrelation, which is PT Multitrend 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 PT Multitrend's stock expected returns. We can calculate the autocorrelation of PT Multitrend returns to help us make a trade decision. For example, suppose you find that PT Multitrend 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 |
PT Multitrend 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 PT Multitrend stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PT Multitrend stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PT Multitrend stock over time.
Current vs Lagged Prices |
| Timeline |
PT Multitrend Lagged Returns
When evaluating PT Multitrend's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PT Multitrend stock have on its future price. PT Multitrend 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, PT Multitrend autocorrelation shows the relationship between PT Multitrend stock current value and its past values and can show if there is a momentum factor associated with investing in PT Multitrend Indo.
Regressed Prices |
| Timeline |
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