Indocement Tunggal (Indonesia) Market Value
| INTP Stock | IDR 6,875 50.00 0.73% |
| Symbol | Indocement |
Indocement Tunggal '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 Indocement Tunggal'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 Indocement Tunggal.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Indocement Tunggal on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Indocement Tunggal Prakarsa or generate 0.0% return on investment in Indocement Tunggal over 30 days. Indocement Tunggal is related to or competes with Kedaung Indah, Langgeng Makmur, Kabelindo Murni, Mustika Ratu, and Champion Pacific. More
Indocement Tunggal 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 Indocement Tunggal'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 Indocement Tunggal Prakarsa upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 11.27 | |||
| Value At Risk | (2.13) | |||
| Potential Upside | 2.2 |
Indocement Tunggal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Indocement Tunggal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Indocement Tunggal's standard deviation. In reality, there are many statistical measures that can use Indocement Tunggal historical prices to predict the future Indocement Tunggal's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | 1.13 |
Indocement Tunggal Backtested Returns
Indocement Tunggal holds Efficiency (Sharpe) Ratio of -0.0139, which attests that the entity had a -0.0139% return per unit of risk over the last 3 months. Indocement Tunggal exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Indocement Tunggal's Risk Adjusted Performance of (0.02), standard deviation of 1.74, and Market Risk Adjusted Performance of 1.14 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.0581, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Indocement Tunggal are expected to decrease at a much lower rate. During the bear market, Indocement Tunggal is likely to outperform the market. At this point, Indocement Tunggal has a negative expected return of -0.0246%. Please make sure to check out Indocement Tunggal's coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if Indocement Tunggal performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.37 |
Below average predictability
Indocement Tunggal Prakarsa has below average predictability. Overlapping area represents the amount of predictability between Indocement Tunggal time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Indocement Tunggal price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Indocement Tunggal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 4183.88 |
Indocement Tunggal lagged returns against current returns
Autocorrelation, which is Indocement Tunggal 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 Indocement Tunggal's stock expected returns. We can calculate the autocorrelation of Indocement Tunggal returns to help us make a trade decision. For example, suppose you find that Indocement Tunggal 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 |
Indocement Tunggal 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 Indocement Tunggal stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Indocement Tunggal stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Indocement Tunggal stock over time.
Current vs Lagged Prices |
| Timeline |
Indocement Tunggal Lagged Returns
When evaluating Indocement Tunggal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Indocement Tunggal stock have on its future price. Indocement Tunggal 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, Indocement Tunggal autocorrelation shows the relationship between Indocement Tunggal stock current value and its past values and can show if there is a momentum factor associated with investing in Indocement Tunggal Prakarsa.
Regressed Prices |
| Timeline |
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Indocement Tunggal financial ratios help investors to determine whether Indocement 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 Indocement with respect to the benefits of owning Indocement Tunggal security.