Bank JTrust (Indonesia) Market Value
| BCIC Stock | IDR 176.00 19.00 9.74% |
| Symbol | Bank |
Bank JTrust '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 JTrust'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 JTrust.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Bank JTrust on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Bank JTrust Indonesia or generate 0.0% return on investment in Bank JTrust over 30 days. Bank JTrust is related to or competes with Bank Victoria, Bank Maybank, Bank Qnb, Bank Bumi, and Bank Mnc. More
Bank JTrust 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 JTrust'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 JTrust Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.9 | |||
| Information Ratio | 0.2134 | |||
| Maximum Drawdown | 26.2 | |||
| Value At Risk | (5.56) | |||
| Potential Upside | 6.93 |
Bank JTrust Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank JTrust's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank JTrust's standard deviation. In reality, there are many statistical measures that can use Bank JTrust historical prices to predict the future Bank JTrust's volatility.| Risk Adjusted Performance | 0.1897 | |||
| Jensen Alpha | 1.12 | |||
| Total Risk Alpha | 0.4716 | |||
| Sortino Ratio | 0.2453 | |||
| Treynor Ratio | (1.54) |
Bank JTrust Indonesia Backtested Returns
Bank JTrust is very steady given 3 months investment horizon. Bank JTrust Indonesia secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the company had a 0.23% return per unit of risk over the last 3 months. We were able to collect data for twenty-eight different technical indicators, which can help you to evaluate if expected returns of 1.07% are justified by taking the suggested risk. Use Bank JTrust Risk Adjusted Performance of 0.1897, downside deviation of 3.9, and Mean Deviation of 3.02 to evaluate company specific risk that cannot be diversified away. Bank JTrust holds a performance score of 18 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -0.69, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Bank JTrust are expected to decrease at a much lower rate. During the bear market, Bank JTrust is likely to outperform the market. Use Bank JTrust total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to analyze future returns on Bank JTrust.
Auto-correlation | -0.37 |
Poor reverse predictability
Bank JTrust Indonesia has poor reverse predictability. Overlapping area represents the amount of predictability between Bank JTrust time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 JTrust Indonesia price movement. The serial correlation of -0.37 indicates that just about 37.0% of current Bank JTrust price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 65.24 |
Bank JTrust Indonesia lagged returns against current returns
Autocorrelation, which is Bank JTrust 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 JTrust's stock expected returns. We can calculate the autocorrelation of Bank JTrust returns to help us make a trade decision. For example, suppose you find that Bank JTrust 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 JTrust 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 JTrust stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank JTrust stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank JTrust stock over time.
Current vs Lagged Prices |
| Timeline |
Bank JTrust Lagged Returns
When evaluating Bank JTrust's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank JTrust stock have on its future price. Bank JTrust 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 JTrust autocorrelation shows the relationship between Bank JTrust stock current value and its past values and can show if there is a momentum factor associated with investing in Bank JTrust Indonesia.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in Bank Stock
Bank JTrust 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 JTrust security.