Bumi Resources (Indonesia) Market Value
| BUMI Stock | IDR 143.00 4.00 2.72% |
| Symbol | Bumi |
Bumi Resources '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 Bumi Resources' 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 Bumi Resources.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Bumi Resources on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Bumi Resources Tbk or generate 0.0% return on investment in Bumi Resources over 30 days. Bumi Resources is related to or competes with Petrosea Tbk, Harum Energy, Perdana Karya, and Samindo Resources. PT Bumi Resources Tbk, through its subsidiaries, engages in the mining activities in Indonesia More
Bumi Resources 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 Bumi Resources' 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 Bumi Resources Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.11 | |||
| Information Ratio | 0.131 | |||
| Maximum Drawdown | 24.78 | |||
| Value At Risk | (4.48) | |||
| Potential Upside | 11.43 |
Bumi Resources Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bumi Resources' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bumi Resources' standard deviation. In reality, there are many statistical measures that can use Bumi Resources historical prices to predict the future Bumi Resources' volatility.| Risk Adjusted Performance | 0.1255 | |||
| Jensen Alpha | 0.772 | |||
| Total Risk Alpha | 0.1022 | |||
| Sortino Ratio | 0.2055 | |||
| Treynor Ratio | (2.17) |
Bumi Resources Tbk Backtested Returns
Bumi Resources appears to be very steady, given 3 months investment horizon. Bumi Resources Tbk secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the company had a 0.16% return per unit of risk over the last 3 months. By analyzing Bumi Resources' technical indicators, you can evaluate if the expected return of 0.77% is justified by implied risk. Please makes use of Bumi Resources' Risk Adjusted Performance of 0.1255, downside deviation of 3.11, and Mean Deviation of 3.38 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bumi Resources holds a performance score of 12. The firm shows a Beta (market volatility) of -0.34, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Bumi Resources are expected to decrease at a much lower rate. During the bear market, Bumi Resources is likely to outperform the market. Please check Bumi Resources' coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Bumi Resources' price patterns will revert.
Auto-correlation | -0.34 |
Poor reverse predictability
Bumi Resources Tbk has poor reverse predictability. Overlapping area represents the amount of predictability between Bumi Resources 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 Bumi Resources Tbk price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Bumi Resources price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 160.97 |
Bumi Resources Tbk lagged returns against current returns
Autocorrelation, which is Bumi Resources 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 Bumi Resources' stock expected returns. We can calculate the autocorrelation of Bumi Resources returns to help us make a trade decision. For example, suppose you find that Bumi Resources 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 |
Bumi Resources 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 Bumi Resources stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bumi Resources stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bumi Resources stock over time.
Current vs Lagged Prices |
| Timeline |
Bumi Resources Lagged Returns
When evaluating Bumi Resources' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bumi Resources stock have on its future price. Bumi Resources 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, Bumi Resources autocorrelation shows the relationship between Bumi Resources stock current value and its past values and can show if there is a momentum factor associated with investing in Bumi Resources Tbk.
Regressed Prices |
| Timeline |
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Bumi Resources financial ratios help investors to determine whether Bumi 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 Bumi with respect to the benefits of owning Bumi Resources security.