Bank Tabungan (Indonesia) Market Value
| BTPS Stock | 935.00 25.00 2.75% |
| Symbol | Bank |
Bank Tabungan '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 Tabungan'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 Tabungan.
| 08/25/2024 |
| 11/23/2024 |
If you would invest 0.00 in Bank Tabungan on August 25, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Tabungan Pensiunan or generate 0.0% return on investment in Bank Tabungan over 90 days. Bank Tabungan is related to or competes with Paninvest Tbk, Maskapai Reasuransi, Panin Sekuritas, Wahana Ottomitra, and Lenox Pasifik. More
Bank Tabungan 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 Tabungan'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 Tabungan Pensiunan upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 12.43 | |||
| Value At Risk | (3.90) | |||
| Potential Upside | 3.56 |
Bank Tabungan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Tabungan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Tabungan's standard deviation. In reality, there are many statistical measures that can use Bank Tabungan historical prices to predict the future Bank Tabungan's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.44) | |||
| Total Risk Alpha | (0.72) | |||
| Treynor Ratio | (0.63) |
Bank Tabungan Pensiunan Backtested Returns
Bank Tabungan Pensiunan secures Sharpe Ratio (or Efficiency) of -0.24, which signifies that the company had a -0.24% return per unit of risk over the last 3 months. Bank Tabungan Pensiunan exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Tabungan's Mean Deviation of 1.64, risk adjusted performance of (0.12), and Standard Deviation of 2.24 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.59, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Tabungan's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Tabungan is expected to be smaller as well. At this point, Bank Tabungan Pensiunan has a negative expected return of -0.5%. Please make sure to confirm Bank Tabungan's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Bank Tabungan Pensiunan performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.39 |
Below average predictability
Bank Tabungan Pensiunan has below average predictability. Overlapping area represents the amount of predictability between Bank Tabungan time series from 25th of August 2024 to 9th of October 2024 and 9th of October 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 Tabungan Pensiunan price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Bank Tabungan price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 8857.71 |
Bank Tabungan Pensiunan lagged returns against current returns
Autocorrelation, which is Bank Tabungan 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 Tabungan's stock expected returns. We can calculate the autocorrelation of Bank Tabungan returns to help us make a trade decision. For example, suppose you find that Bank Tabungan 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 Tabungan 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 Tabungan stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Tabungan stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Tabungan stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Tabungan Lagged Returns
When evaluating Bank Tabungan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Tabungan stock have on its future price. Bank Tabungan 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 Tabungan autocorrelation shows the relationship between Bank Tabungan stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Tabungan Pensiunan.
Regressed Prices |
| Timeline |
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Bank Tabungan 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 Tabungan security.