Bank BRISyariah (Indonesia) Market Value
| BRIS Stock | IDR 2,970 200.00 7.22% |
| Symbol | Bank |
Bank BRISyariah '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 BRISyariah'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 BRISyariah.
| 09/30/2023 |
| 11/23/2024 |
If you would invest 0.00 in Bank BRISyariah on September 30, 2023 and sell it all today you would earn a total of 0.00 from holding Bank BRISyariah Tbk or generate 0.0% return on investment in Bank BRISyariah over 420 days. Bank BRISyariah is related to or competes with Aneka Tambang, Sido Muncul, Indofood Cbp, Bank Tabungan, and Bank Negara. PT Bank Syariah Indonesia Tbk provides various commercial banking products and services in Indonesia More
Bank BRISyariah 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 BRISyariah'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 BRISyariah Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.8 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 12.51 | |||
| Value At Risk | (2.60) | |||
| Potential Upside | 3.96 |
Bank BRISyariah Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank BRISyariah's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank BRISyariah's standard deviation. In reality, there are many statistical measures that can use Bank BRISyariah historical prices to predict the future Bank BRISyariah's volatility.| Risk Adjusted Performance | 0.0125 | |||
| Jensen Alpha | 0.0322 | |||
| Total Risk Alpha | (0.28) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.03) |
Bank BRISyariah Tbk Backtested Returns
As of now, Bank Stock is very steady. Bank BRISyariah Tbk secures Sharpe Ratio (or Efficiency) of 0.0687, which signifies that the company had a 0.0687% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Bank BRISyariah Tbk, which you can use to evaluate the volatility of the firm. Please confirm Bank BRISyariah's Risk Adjusted Performance of 0.0125, downside deviation of 1.8, and Mean Deviation of 1.58 to double-check if the risk estimate we provide is consistent with the expected return of 0.16%. Bank BRISyariah has a performance score of 5 on a scale of 0 to 100. The firm shows a Beta (market volatility) of -0.25, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank BRISyariah are expected to decrease at a much lower rate. During the bear market, Bank BRISyariah is likely to outperform the market. Bank BRISyariah Tbk right now shows a risk of 2.28%. Please confirm Bank BRISyariah Tbk standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Bank BRISyariah Tbk will be following its price patterns.
Auto-correlation | 0.90 |
Excellent predictability
Bank BRISyariah Tbk has excellent predictability. Overlapping area represents the amount of predictability between Bank BRISyariah time series from 30th of September 2023 to 27th of April 2024 and 27th of April 2024 to 23rd 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 BRISyariah Tbk price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Bank BRISyariah price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 74.9 K |
Bank BRISyariah Tbk lagged returns against current returns
Autocorrelation, which is Bank BRISyariah 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 BRISyariah's stock expected returns. We can calculate the autocorrelation of Bank BRISyariah returns to help us make a trade decision. For example, suppose you find that Bank BRISyariah 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 BRISyariah 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 BRISyariah stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank BRISyariah stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank BRISyariah stock over time.
Current vs Lagged Prices |
| Timeline |
Bank BRISyariah Lagged Returns
When evaluating Bank BRISyariah's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank BRISyariah stock have on its future price. Bank BRISyariah 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 BRISyariah autocorrelation shows the relationship between Bank BRISyariah stock current value and its past values and can show if there is a momentum factor associated with investing in Bank BRISyariah Tbk.
Regressed Prices |
| Timeline |
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Bank BRISyariah 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 BRISyariah security.