PT Mandiri (Indonesia) Market Value
| MAHA Stock | 179.00 2.00 1.10% |
| Symbol | MAHA |
PT Mandiri '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 PT Mandiri'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 PT Mandiri.
| 11/30/2023 |
| 11/24/2024 |
If you would invest 0.00 in PT Mandiri on November 30, 2023 and sell it all today you would earn a total of 0.00 from holding PT Mandiri Herindo or generate 0.0% return on investment in PT Mandiri over 360 days.
PT Mandiri 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 PT Mandiri'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 PT Mandiri Herindo upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.58 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 9.23 | |||
| Value At Risk | (2.06) | |||
| Potential Upside | 2.76 |
PT Mandiri Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PT Mandiri's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PT Mandiri's standard deviation. In reality, there are many statistical measures that can use PT Mandiri historical prices to predict the future PT Mandiri's volatility.| Risk Adjusted Performance | 0.0079 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.27) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | (0.06) |
PT Mandiri Herindo Backtested Returns
PT Mandiri Herindo retains Efficiency (Sharpe Ratio) of -0.0275, which implies the firm had a -0.0275% return per unit of price deviation over the last 3 months. PT Mandiri exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PT Mandiri's standard deviation of 1.68, and Market Risk Adjusted Performance of (0.05) to confirm the risk estimate we provide. The company owns a Beta (Systematic Risk) of 0.0798, which implies not very significant fluctuations relative to the market. As returns on the market increase, PT Mandiri's returns are expected to increase less than the market. However, during the bear market, the loss of holding PT Mandiri is expected to be smaller as well. At this point, PT Mandiri Herindo has a negative expected return of -0.0455%. Please make sure to check PT Mandiri's downside deviation, standard deviation, and the relationship between the semi deviation and coefficient of variation , to decide if PT Mandiri Herindo performance from the past will be repeated at some future date.
Auto-correlation | 0.14 |
Insignificant predictability
PT Mandiri Herindo has insignificant predictability. Overlapping area represents the amount of predictability between PT Mandiri time series from 30th of November 2023 to 28th of May 2024 and 28th of May 2024 to 24th 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 PT Mandiri Herindo price movement. The serial correlation of 0.14 indicates that less than 14.0% of current PT Mandiri price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.14 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 219.07 |
PT Mandiri Herindo lagged returns against current returns
Autocorrelation, which is PT Mandiri 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 PT Mandiri's stock expected returns. We can calculate the autocorrelation of PT Mandiri returns to help us make a trade decision. For example, suppose you find that PT Mandiri 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 |
PT Mandiri 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 PT Mandiri stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PT Mandiri stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PT Mandiri stock over time.
Current vs Lagged Prices |
| Timeline |
PT Mandiri Lagged Returns
When evaluating PT Mandiri's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PT Mandiri stock have on its future price. PT Mandiri 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, PT Mandiri autocorrelation shows the relationship between PT Mandiri stock current value and its past values and can show if there is a momentum factor associated with investing in PT Mandiri Herindo.
Regressed Prices |
| Timeline |
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