Indonesian Tobacco (Indonesia) Market Value
| ITIC Stock | 258.00 8.00 3.01% |
| Symbol | Indonesian |
Indonesian Tobacco '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 Indonesian Tobacco'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 Indonesian Tobacco.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Indonesian Tobacco on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Indonesian Tobacco Tbk or generate 0.0% return on investment in Indonesian Tobacco over 30 days. Indonesian Tobacco is related to or competes with Wismilak Inti, J Resources, Transcoal Pacific, Garudafood Putra, and Provident Agro. More
Indonesian Tobacco 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 Indonesian Tobacco'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 Indonesian Tobacco Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.86 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 8.6 | |||
| Value At Risk | (2.19) | |||
| Potential Upside | 2.21 |
Indonesian Tobacco Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Indonesian Tobacco's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Indonesian Tobacco's standard deviation. In reality, there are many statistical measures that can use Indonesian Tobacco historical prices to predict the future Indonesian Tobacco's volatility.| Risk Adjusted Performance | 0.0224 | |||
| Jensen Alpha | 0.0433 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.13) |
Indonesian Tobacco Tbk Backtested Returns
As of now, Indonesian Stock is very steady. Indonesian Tobacco Tbk holds Efficiency (Sharpe) Ratio of 0.024, which attests that the entity had a 0.024% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Indonesian Tobacco Tbk, which you can use to evaluate the volatility of the firm. Please check out Indonesian Tobacco's Downside Deviation of 1.86, market risk adjusted performance of (0.12), and Risk Adjusted Performance of 0.0224 to validate if the risk estimate we provide is consistent with the expected return of 0.034%. Indonesian Tobacco has a performance score of 1 on a scale of 0 to 100. The company retains a Market Volatility (i.e., Beta) of -0.18, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Indonesian Tobacco are expected to decrease at a much lower rate. During the bear market, Indonesian Tobacco is likely to outperform the market. Indonesian Tobacco Tbk right now retains a risk of 1.42%. Please check out Indonesian Tobacco coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Indonesian Tobacco will be following its current trending patterns.
Auto-correlation | 0.50 |
Modest predictability
Indonesian Tobacco Tbk has modest predictability. Overlapping area represents the amount of predictability between Indonesian Tobacco time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Indonesian Tobacco Tbk price movement. The serial correlation of 0.5 indicates that about 50.0% of current Indonesian Tobacco price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 9.79 |
Indonesian Tobacco Tbk lagged returns against current returns
Autocorrelation, which is Indonesian Tobacco 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 Indonesian Tobacco's stock expected returns. We can calculate the autocorrelation of Indonesian Tobacco returns to help us make a trade decision. For example, suppose you find that Indonesian Tobacco 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 |
Indonesian Tobacco 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 Indonesian Tobacco stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Indonesian Tobacco stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Indonesian Tobacco stock over time.
Current vs Lagged Prices |
| Timeline |
Indonesian Tobacco Lagged Returns
When evaluating Indonesian Tobacco's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Indonesian Tobacco stock have on its future price. Indonesian Tobacco 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, Indonesian Tobacco autocorrelation shows the relationship between Indonesian Tobacco stock current value and its past values and can show if there is a momentum factor associated with investing in Indonesian Tobacco Tbk.
Regressed Prices |
| Timeline |
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Indonesian Tobacco financial ratios help investors to determine whether Indonesian 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 Indonesian with respect to the benefits of owning Indonesian Tobacco security.