Ciputra Development (Indonesia) Market Value
| CTRA Stock | IDR 1,105 35.00 3.27% |
| Symbol | Ciputra |
Ciputra Development '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 Ciputra Development'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 Ciputra Development.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Ciputra Development on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Ciputra Development Tbk or generate 0.0% return on investment in Ciputra Development over 510 days. Ciputra Development is related to or competes with Summarecon Agung, Bumi Serpong, Adhi Karya, Wijaya Karya, and Pakuwon Jati. More
Ciputra Development 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 Ciputra Development'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 Ciputra Development Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 12.32 | |||
| Value At Risk | (3.70) | |||
| Potential Upside | 3.29 |
Ciputra Development Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ciputra Development's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ciputra Development's standard deviation. In reality, there are many statistical measures that can use Ciputra Development historical prices to predict the future Ciputra Development's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.60) | |||
| Treynor Ratio | 0.3096 |
Ciputra Development Tbk Backtested Returns
Ciputra Development Tbk secures Sharpe Ratio (or Efficiency) of -0.14, which signifies that the company had a -0.14% return per unit of risk over the last 3 months. Ciputra Development Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Ciputra Development's Standard Deviation of 2.46, risk adjusted performance of (0.06), and Mean Deviation of 1.94 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.69, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Ciputra Development are expected to decrease at a much lower rate. During the bear market, Ciputra Development is likely to outperform the market. At this point, Ciputra Development Tbk has a negative expected return of -0.32%. Please make sure to confirm Ciputra Development's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Ciputra Development Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.27 |
Poor predictability
Ciputra Development Tbk has poor predictability. Overlapping area represents the amount of predictability between Ciputra Development time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 Ciputra Development Tbk price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Ciputra Development price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 9675.85 |
Ciputra Development Tbk lagged returns against current returns
Autocorrelation, which is Ciputra Development 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 Ciputra Development's stock expected returns. We can calculate the autocorrelation of Ciputra Development returns to help us make a trade decision. For example, suppose you find that Ciputra Development 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 |
Ciputra Development 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 Ciputra Development stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ciputra Development stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ciputra Development stock over time.
Current vs Lagged Prices |
| Timeline |
Ciputra Development Lagged Returns
When evaluating Ciputra Development's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ciputra Development stock have on its future price. Ciputra Development 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, Ciputra Development autocorrelation shows the relationship between Ciputra Development stock current value and its past values and can show if there is a momentum factor associated with investing in Ciputra Development Tbk.
Regressed Prices |
| Timeline |
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Ciputra Development financial ratios help investors to determine whether Ciputra 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 Ciputra with respect to the benefits of owning Ciputra Development security.