Mahkota Group (Indonesia) Market Value
| MGRO Stock | 680.00 10.00 1.45% |
| Symbol | Mahkota |
Mahkota Group '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 Mahkota Group'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 Mahkota Group.
| 01/06/2023 |
| 11/26/2024 |
If you would invest 0.00 in Mahkota Group on January 6, 2023 and sell it all today you would earn a total of 0.00 from holding Mahkota Group Tbk or generate 0.0% return on investment in Mahkota Group over 690 days. Mahkota Group is related to or competes with Kalbe Farma, and Akr Corporindo. More
Mahkota Group 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 Mahkota Group'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 Mahkota Group Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.68 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 11.24 | |||
| Value At Risk | (2.29) | |||
| Potential Upside | 2.26 |
Mahkota Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mahkota Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mahkota Group's standard deviation. In reality, there are many statistical measures that can use Mahkota Group historical prices to predict the future Mahkota Group's volatility.| Risk Adjusted Performance | 0.0122 | |||
| Jensen Alpha | 0.0505 | |||
| Total Risk Alpha | (0.26) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.01) |
Mahkota Group Tbk Backtested Returns
Mahkota Group Tbk has Sharpe Ratio of -0.0108, which conveys that the firm had a -0.0108% return per unit of risk over the last 3 months. Mahkota Group exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mahkota Group's Risk Adjusted Performance of 0.0122, downside deviation of 2.68, and Mean Deviation of 1.18 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.38, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Mahkota Group are expected to decrease at a much lower rate. During the bear market, Mahkota Group is likely to outperform the market. At this point, Mahkota Group Tbk has a negative expected return of -0.0188%. Please make sure to verify Mahkota Group's jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if Mahkota Group Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.5 |
Modest reverse predictability
Mahkota Group Tbk has modest reverse predictability. Overlapping area represents the amount of predictability between Mahkota Group time series from 6th of January 2023 to 17th of December 2023 and 17th of December 2023 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 Mahkota Group Tbk price movement. The serial correlation of -0.5 indicates that about 50.0% of current Mahkota Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 2882.14 |
Mahkota Group Tbk lagged returns against current returns
Autocorrelation, which is Mahkota Group 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 Mahkota Group's stock expected returns. We can calculate the autocorrelation of Mahkota Group returns to help us make a trade decision. For example, suppose you find that Mahkota Group 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 |
Mahkota Group 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 Mahkota Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mahkota Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mahkota Group stock over time.
Current vs Lagged Prices |
| Timeline |
Mahkota Group Lagged Returns
When evaluating Mahkota Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mahkota Group stock have on its future price. Mahkota Group 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, Mahkota Group autocorrelation shows the relationship between Mahkota Group stock current value and its past values and can show if there is a momentum factor associated with investing in Mahkota Group Tbk.
Regressed Prices |
| Timeline |
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Mahkota Group financial ratios help investors to determine whether Mahkota 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 Mahkota with respect to the benefits of owning Mahkota Group security.