Multi Hanna (Indonesia) Market Value
| MHKI Stock | 105.00 1.00 0.94% |
| Symbol | Multi |
Multi Hanna '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 Multi Hanna'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 Multi Hanna.
| 09/02/2024 |
| 12/01/2024 |
If you would invest 0.00 in Multi Hanna on September 2, 2024 and sell it all today you would earn a total of 0.00 from holding Multi Hanna Kreasindo or generate 0.0% return on investment in Multi Hanna over 90 days.
Multi Hanna 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 Multi Hanna'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 Multi Hanna Kreasindo upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 18.49 | |||
| Value At Risk | (4.58) | |||
| Potential Upside | 5.93 |
Multi Hanna Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Multi Hanna's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Multi Hanna's standard deviation. In reality, there are many statistical measures that can use Multi Hanna historical prices to predict the future Multi Hanna's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.23) | |||
| Total Risk Alpha | (0.69) | |||
| Treynor Ratio | (0.78) |
Multi Hanna Kreasindo Backtested Returns
Multi Hanna Kreasindo has Sharpe Ratio of -0.0506, which conveys that the firm had a -0.0506% return per unit of risk over the last 3 months. Multi Hanna exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Multi Hanna's Standard Deviation of 2.96, mean deviation of 1.96, and Risk Adjusted Performance of (0.04) to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 0.25, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Multi Hanna's returns are expected to increase less than the market. However, during the bear market, the loss of holding Multi Hanna is expected to be smaller as well. At this point, Multi Hanna Kreasindo has a negative expected return of -0.15%. Please make sure to verify Multi Hanna's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Multi Hanna Kreasindo performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.63 |
Very good reverse predictability
Multi Hanna Kreasindo has very good reverse predictability. Overlapping area represents the amount of predictability between Multi Hanna time series from 2nd of September 2024 to 17th of October 2024 and 17th of October 2024 to 1st of December 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 Multi Hanna Kreasindo price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Multi Hanna price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 117.92 |
Multi Hanna Kreasindo lagged returns against current returns
Autocorrelation, which is Multi Hanna 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 Multi Hanna's stock expected returns. We can calculate the autocorrelation of Multi Hanna returns to help us make a trade decision. For example, suppose you find that Multi Hanna 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 |
Multi Hanna 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 Multi Hanna stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Multi Hanna stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Multi Hanna stock over time.
Current vs Lagged Prices |
| Timeline |
Multi Hanna Lagged Returns
When evaluating Multi Hanna's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Multi Hanna stock have on its future price. Multi Hanna 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, Multi Hanna autocorrelation shows the relationship between Multi Hanna stock current value and its past values and can show if there is a momentum factor associated with investing in Multi Hanna Kreasindo.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio Architect