Bank Artha (Indonesia) Market Value
| INPC Stock | IDR 312.00 60.00 23.81% |
| Symbol | Bank |
Bank Artha '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 Artha'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 Artha.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Bank Artha on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Artha Graha or generate 0.0% return on investment in Bank Artha over 30 days. Bank Artha is related to or competes with Bank Victoria, Bank Bumi, Bank Mnc, Bank Qnb, and Bank Pembangunan. More
Bank Artha 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 Artha'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 Artha Graha upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.73 | |||
| Information Ratio | 0.2492 | |||
| Maximum Drawdown | 40.49 | |||
| Value At Risk | (9.56) | |||
| Potential Upside | 26.6 |
Bank Artha Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Artha's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Artha's standard deviation. In reality, there are many statistical measures that can use Bank Artha historical prices to predict the future Bank Artha's volatility.| Risk Adjusted Performance | 0.2104 | |||
| Jensen Alpha | 2.56 | |||
| Total Risk Alpha | 1.03 | |||
| Sortino Ratio | 0.4324 | |||
| Treynor Ratio | 7.92 |
Bank Artha Graha Backtested Returns
Bank Artha is very steady given 3 months investment horizon. Bank Artha Graha secures Sharpe Ratio (or Efficiency) of 0.3, which signifies that the company had a 0.3% return per unit of risk over the last 3 months. We were able to collect data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 2.84% are justified by taking the suggested risk. Use Bank Artha Downside Deviation of 5.73, risk adjusted performance of 0.2104, and Mean Deviation of 5.93 to evaluate company specific risk that cannot be diversified away. Bank Artha holds a performance score of 23 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of 0.33, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Artha's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Artha is expected to be smaller as well. Use Bank Artha standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to analyze future returns on Bank Artha.
Auto-correlation | 0.09 |
Virtually no predictability
Bank Artha Graha has virtually no predictability. Overlapping area represents the amount of predictability between Bank Artha time series from 27th of October 2024 to 11th of November 2024 and 11th of November 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 Bank Artha Graha price movement. The serial correlation of 0.09 indicates that less than 9.0% of current Bank Artha price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 3346.38 |
Bank Artha Graha lagged returns against current returns
Autocorrelation, which is Bank Artha 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 Artha's stock expected returns. We can calculate the autocorrelation of Bank Artha returns to help us make a trade decision. For example, suppose you find that Bank Artha 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 Artha 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 Artha stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Artha stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Artha stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Artha Lagged Returns
When evaluating Bank Artha's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Artha stock have on its future price. Bank Artha 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 Artha autocorrelation shows the relationship between Bank Artha stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Artha Graha.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectOther Information on Investing in Bank Stock
Bank Artha 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 Artha security.