Sepatu Bata (Indonesia) Market Value
| BATA Stock | IDR 50.00 4.00 7.41% |
| Symbol | Sepatu |
Sepatu Bata '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 Sepatu Bata'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 Sepatu Bata.
| 02/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Sepatu Bata on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Sepatu Bata Tbk or generate 0.0% return on investment in Sepatu Bata over 270 days. Sepatu Bata is related to or competes with Indo Kordsa, Goodyear Indonesia, Argo Pantes, Primarindo Asia, and Ever Shine. More
Sepatu Bata 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 Sepatu Bata'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 Sepatu Bata Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 10.69 | |||
| Value At Risk | (3.51) | |||
| Potential Upside | 1.79 |
Sepatu Bata Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sepatu Bata's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sepatu Bata's standard deviation. In reality, there are many statistical measures that can use Sepatu Bata historical prices to predict the future Sepatu Bata's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.63) | |||
| Treynor Ratio | (0.96) |
Sepatu Bata Tbk Backtested Returns
Sepatu Bata Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.19, which indicates the firm had a -0.19% return per unit of risk over the last 3 months. Sepatu Bata Tbk exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sepatu Bata's Variance of 3.2, risk adjusted performance of (0.14), and Coefficient Of Variation of (536.14) to confirm the risk estimate we provide. The entity has a beta of 0.36, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sepatu Bata's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sepatu Bata is expected to be smaller as well. At this point, Sepatu Bata Tbk has a negative expected return of -0.34%. Please make sure to validate Sepatu Bata's treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if Sepatu Bata Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.85 |
Very good predictability
Sepatu Bata Tbk has very good predictability. Overlapping area represents the amount of predictability between Sepatu Bata time series from 27th of February 2024 to 11th of July 2024 and 11th of July 2024 to 23rd 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 Sepatu Bata Tbk price movement. The serial correlation of 0.85 indicates that around 85.0% of current Sepatu Bata price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 7.34 |
Sepatu Bata Tbk lagged returns against current returns
Autocorrelation, which is Sepatu Bata 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 Sepatu Bata's stock expected returns. We can calculate the autocorrelation of Sepatu Bata returns to help us make a trade decision. For example, suppose you find that Sepatu Bata 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 |
Sepatu Bata 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 Sepatu Bata stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sepatu Bata stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sepatu Bata stock over time.
Current vs Lagged Prices |
| Timeline |
Sepatu Bata Lagged Returns
When evaluating Sepatu Bata's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sepatu Bata stock have on its future price. Sepatu Bata 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, Sepatu Bata autocorrelation shows the relationship between Sepatu Bata stock current value and its past values and can show if there is a momentum factor associated with investing in Sepatu Bata Tbk.
Regressed Prices |
| Timeline |
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Sepatu Bata financial ratios help investors to determine whether Sepatu Stock 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 Sepatu with respect to the benefits of owning Sepatu Bata security.