Bank Maspion (Indonesia) Market Value
| BMAS Stock | IDR 600.00 10.00 1.69% |
| Symbol | Bank |
Bank Maspion '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 Maspion'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 Maspion.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Bank Maspion on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Maspion Indonesia or generate 0.0% return on investment in Bank Maspion over 30 days. Bank Maspion is related to or competes with Bank Mestika, Bank Sinarmas, Bank Ina, Bank Qnb, and Bank Bumi. PT Bank Maspion Indonesia Tbk provides various banking products and services More
Bank Maspion 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 Maspion'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 Maspion Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.83 | |||
| Information Ratio | 0.0319 | |||
| Maximum Drawdown | 34.87 | |||
| Value At Risk | (6.96) | |||
| Potential Upside | 11.65 |
Bank Maspion Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Maspion's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Maspion's standard deviation. In reality, there are many statistical measures that can use Bank Maspion historical prices to predict the future Bank Maspion's volatility.| Risk Adjusted Performance | 0.0502 | |||
| Jensen Alpha | 0.3282 | |||
| Total Risk Alpha | (0.59) | |||
| Sortino Ratio | 0.0476 | |||
| Treynor Ratio | (1.32) |
Bank Maspion Indonesia Backtested Returns
Bank Maspion appears to be very steady, given 3 months investment horizon. Bank Maspion Indonesia secures Sharpe Ratio (or Efficiency) of 0.0706, which signifies that the company had a 0.0706% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Bank Maspion Indonesia, which you can use to evaluate the volatility of the firm. Please makes use of Bank Maspion's Downside Deviation of 3.83, mean deviation of 3.28, and Risk Adjusted Performance of 0.0502 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bank Maspion holds a performance score of 5. The firm shows a Beta (market volatility) of -0.23, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank Maspion are expected to decrease at a much lower rate. During the bear market, Bank Maspion is likely to outperform the market. Please check Bank Maspion's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Bank Maspion's price patterns will revert.
Auto-correlation | 0.54 |
Modest predictability
Bank Maspion Indonesia has modest predictability. Overlapping area represents the amount of predictability between Bank Maspion time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Maspion Indonesia price movement. The serial correlation of 0.54 indicates that about 54.0% of current Bank Maspion price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 5692.15 |
Bank Maspion Indonesia lagged returns against current returns
Autocorrelation, which is Bank Maspion 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 Maspion's stock expected returns. We can calculate the autocorrelation of Bank Maspion returns to help us make a trade decision. For example, suppose you find that Bank Maspion 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 Maspion 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 Maspion stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Maspion stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Maspion stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Maspion Lagged Returns
When evaluating Bank Maspion's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Maspion stock have on its future price. Bank Maspion 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 Maspion autocorrelation shows the relationship between Bank Maspion stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Maspion Indonesia.
Regressed Prices |
| Timeline |
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Bank Maspion 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 Maspion security.