Bank Rakyat (Indonesia) Market Value
| BBRI Stock | IDR 4,490 90.00 2.05% |
| Symbol | Bank |
Bank Rakyat '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 Rakyat'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 Rakyat.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Bank Rakyat on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Rakyat Indonesia or generate 0.0% return on investment in Bank Rakyat over 90 days. Bank Rakyat is related to or competes with Bank Central, Bank Mandiri, Bank Negara, Telkom Indonesia, and Astra International. PT Bank Rakyat Indonesia Tbk provides various banking products and services in Indonesia, Singapore, Timor Leste, Hong K... More
Bank Rakyat 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 Rakyat'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 Rakyat Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 8.08 | |||
| Value At Risk | (2.68) | |||
| Potential Upside | 2.42 |
Bank Rakyat Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Rakyat's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Rakyat's standard deviation. In reality, there are many statistical measures that can use Bank Rakyat historical prices to predict the future Bank Rakyat's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.47) | |||
| Treynor Ratio | 2.82 |
Bank Rakyat Indonesia Backtested Returns
Bank Rakyat Indonesia secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the company had a -0.12% return per unit of risk over the last 3 months. Bank Rakyat Indonesia exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Rakyat's Standard Deviation of 1.59, risk adjusted performance of (0.1), and Mean Deviation of 1.21 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.078, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank Rakyat are expected to decrease at a much lower rate. During the bear market, Bank Rakyat is likely to outperform the market. At this point, Bank Rakyat Indonesia has a negative expected return of -0.2%. Please make sure to confirm Bank Rakyat's treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if Bank Rakyat Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.44 |
Average predictability
Bank Rakyat Indonesia has average predictability. Overlapping area represents the amount of predictability between Bank Rakyat time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th 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 Rakyat Indonesia price movement. The serial correlation of 0.44 indicates that just about 44.0% of current Bank Rakyat price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.44 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 45.9 K |
Bank Rakyat Indonesia lagged returns against current returns
Autocorrelation, which is Bank Rakyat 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 Rakyat's stock expected returns. We can calculate the autocorrelation of Bank Rakyat returns to help us make a trade decision. For example, suppose you find that Bank Rakyat 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 Rakyat 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 Rakyat stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Rakyat stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Rakyat stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Rakyat Lagged Returns
When evaluating Bank Rakyat's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Rakyat stock have on its future price. Bank Rakyat 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 Rakyat autocorrelation shows the relationship between Bank Rakyat stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Rakyat Indonesia.
Regressed Prices |
| Timeline |
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Bank Rakyat 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 Rakyat security.