Bank Permata (Indonesia) Market Value
| BNLI Stock | IDR 1,000.00 10.00 0.99% |
| Symbol | Bank |
Bank Permata '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 Permata'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 Permata.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Bank Permata on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Permata Tbk or generate 0.0% return on investment in Bank Permata over 30 days. Bank Permata is related to or competes with Bank Cimb, Bank Maybank, Bank Danamon, Bank Pan, and Bank Bukopin. More
Bank Permata 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 Permata'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 Permata Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 38.23 | |||
| Value At Risk | (6.61) | |||
| Potential Upside | 4.57 |
Bank Permata Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Permata's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Permata's standard deviation. In reality, there are many statistical measures that can use Bank Permata historical prices to predict the future Bank Permata's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.93) | |||
| Treynor Ratio | (1.11) |
Bank Permata Tbk Backtested Returns
Bank Permata Tbk secures Sharpe Ratio (or Efficiency) of -0.0803, which signifies that the company had a -0.0803% return per unit of risk over the last 3 months. Bank Permata Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Permata's Mean Deviation of 2.54, insignificant risk adjusted performance, and Standard Deviation of 5.29 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0898, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank Permata's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Permata is expected to be smaller as well. At this point, Bank Permata Tbk has a negative expected return of -0.32%. Please make sure to confirm Bank Permata's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Bank Permata Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.49 |
Average predictability
Bank Permata Tbk has average predictability. Overlapping area represents the amount of predictability between Bank Permata time series from 26th of October 2024 to 10th of November 2024 and 10th of November 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 Permata Tbk price movement. The serial correlation of 0.49 indicates that about 49.0% of current Bank Permata price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 1514.88 |
Bank Permata Tbk lagged returns against current returns
Autocorrelation, which is Bank Permata 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 Permata's stock expected returns. We can calculate the autocorrelation of Bank Permata returns to help us make a trade decision. For example, suppose you find that Bank Permata 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 Permata 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 Permata stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Permata stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Permata stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Permata Lagged Returns
When evaluating Bank Permata's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Permata stock have on its future price. Bank Permata 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 Permata autocorrelation shows the relationship between Bank Permata stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Permata Tbk.
Regressed Prices |
| Timeline |
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Bank Permata 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 Permata security.