Eratex Djaja (Indonesia) Market Value
| ERTX Stock | IDR 101.00 1.00 0.98% |
| Symbol | Eratex |
Eratex Djaja '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 Eratex Djaja'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 Eratex Djaja.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in Eratex Djaja on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding Eratex Djaja Tbk or generate 0.0% return on investment in Eratex Djaja over 180 days. Eratex Djaja is related to or competes with Ever Shine, PT Century, Argo Pantes, Primarindo Asia, and Goodyear Indonesia. PT Eratex Djaja Tbk manufactures and sells garments in Indonesia and internationally More
Eratex Djaja 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 Eratex Djaja'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 Eratex Djaja Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 40.19 | |||
| Value At Risk | (5.31) | |||
| Potential Upside | 3.23 |
Eratex Djaja Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Eratex Djaja's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Eratex Djaja's standard deviation. In reality, there are many statistical measures that can use Eratex Djaja historical prices to predict the future Eratex Djaja's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.31) | |||
| Total Risk Alpha | (1.04) | |||
| Treynor Ratio | (0.39) |
Eratex Djaja Tbk Backtested Returns
Eratex Djaja Tbk secures Sharpe Ratio (or Efficiency) of -0.0446, which denotes the company had a -0.0446% return per unit of standard deviation over the last 3 months. Eratex Djaja Tbk exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Eratex Djaja's Standard Deviation of 5.1, coefficient of variation of (2,278), and Mean Deviation of 2.23 to check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.59, which means possible diversification benefits within a given portfolio. As returns on the market increase, Eratex Djaja's returns are expected to increase less than the market. However, during the bear market, the loss of holding Eratex Djaja is expected to be smaller as well. At this point, Eratex Djaja Tbk has a negative expected return of -0.23%. Please make sure to confirm Eratex Djaja's market risk adjusted performance, coefficient of variation, jensen alpha, as well as the relationship between the mean deviation and standard deviation , to decide if Eratex Djaja Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.40 |
Average predictability
Eratex Djaja Tbk has average predictability. Overlapping area represents the amount of predictability between Eratex Djaja time series from 27th of May 2024 to 25th of August 2024 and 25th of August 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 Eratex Djaja Tbk price movement. The serial correlation of 0.4 indicates that just about 40.0% of current Eratex Djaja price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.4 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 119.7 |
Eratex Djaja Tbk lagged returns against current returns
Autocorrelation, which is Eratex Djaja 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 Eratex Djaja's stock expected returns. We can calculate the autocorrelation of Eratex Djaja returns to help us make a trade decision. For example, suppose you find that Eratex Djaja 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 |
Eratex Djaja 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 Eratex Djaja stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Eratex Djaja stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Eratex Djaja stock over time.
Current vs Lagged Prices |
| Timeline |
Eratex Djaja Lagged Returns
When evaluating Eratex Djaja's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Eratex Djaja stock have on its future price. Eratex Djaja 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, Eratex Djaja autocorrelation shows the relationship between Eratex Djaja stock current value and its past values and can show if there is a momentum factor associated with investing in Eratex Djaja Tbk.
Regressed Prices |
| Timeline |
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Eratex Djaja financial ratios help investors to determine whether Eratex 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 Eratex with respect to the benefits of owning Eratex Djaja security.