Bank Negara (Indonesia) Market Value
| BBNI Stock | IDR 4,840 10.00 0.21% |
| Symbol | Bank |
Bank Negara '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 Bank Negara'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 Bank Negara.
| 02/29/2024 |
| 11/25/2024 |
If you would invest 0.00 in Bank Negara on February 29, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Negara Indonesia or generate 0.0% return on investment in Bank Negara over 270 days. Bank Negara is related to or competes with Paninvest Tbk, Wahana Ottomitra, and Lenox Pasifik. PT Bank Negara Indonesia Tbk, together with its subsidiaries, provides various banking products and services in Indonesi... More
Bank Negara 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 Bank Negara'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 Bank Negara Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 8.76 | |||
| Value At Risk | (2.68) | |||
| Potential Upside | 2.73 |
Bank Negara Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Negara's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Negara's standard deviation. In reality, there are many statistical measures that can use Bank Negara historical prices to predict the future Bank Negara's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 0.929 |
Bank Negara Indonesia Backtested Returns
Bank Negara Indonesia secures Sharpe Ratio (or Efficiency) of -0.1, which signifies that the company had a -0.1% return per unit of risk over the last 3 months. Bank Negara Indonesia exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Negara's Standard Deviation of 1.59, mean deviation of 1.17, and Risk Adjusted Performance of (0.05) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.14, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank Negara are expected to decrease at a much lower rate. During the bear market, Bank Negara is likely to outperform the market. At this point, Bank Negara Indonesia has a negative expected return of -0.16%. Please make sure to confirm Bank Negara's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Bank Negara Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Bank Negara Indonesia has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Bank Negara time series from 29th of February 2024 to 13th of July 2024 and 13th of July 2024 to 25th 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 Bank Negara Indonesia price movement. The serial correlation of -0.73 indicates that around 73.0% of current Bank Negara price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 57.1 K |
Bank Negara Indonesia lagged returns against current returns
Autocorrelation, which is Bank Negara 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 Bank Negara's stock expected returns. We can calculate the autocorrelation of Bank Negara returns to help us make a trade decision. For example, suppose you find that Bank Negara 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 |
Bank Negara 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 Bank Negara stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Negara stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Negara stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Negara Lagged Returns
When evaluating Bank Negara's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Negara stock have on its future price. Bank Negara 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, Bank Negara autocorrelation shows the relationship between Bank Negara stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Negara Indonesia.
Regressed Prices |
| Timeline |
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Bank Negara financial ratios help investors to determine whether Bank 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 Bank with respect to the benefits of owning Bank Negara security.