PT Trimegah (Indonesia) Market Value
| NCKL Stock | 840.00 5.00 0.60% |
| Symbol | NCKL |
PT Trimegah '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 Trimegah'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 Trimegah.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in PT Trimegah on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding PT Trimegah Bangun or generate 0.0% return on investment in PT Trimegah over 720 days.
PT Trimegah 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 Trimegah'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 Trimegah Bangun upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 6.41 | |||
| Value At Risk | (1.67) | |||
| Potential Upside | 2.73 |
PT Trimegah Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PT Trimegah's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PT Trimegah's standard deviation. In reality, there are many statistical measures that can use PT Trimegah historical prices to predict the future PT Trimegah's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.33) | |||
| Treynor Ratio | 0.4388 |
PT Trimegah Bangun Backtested Returns
PT Trimegah Bangun retains Efficiency (Sharpe Ratio) of -0.0942, which implies the firm had a -0.0942% return per unit of price deviation over the last 3 months. PT Trimegah exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check PT Trimegah's information ratio of (0.19), and Market Risk Adjusted Performance of 0.4488 to confirm the risk estimate we provide. The company owns a Beta (Systematic Risk) of -0.28, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning PT Trimegah are expected to decrease at a much lower rate. During the bear market, PT Trimegah is likely to outperform the market. At this point, PT Trimegah Bangun has a negative expected return of -0.12%. Please make sure to check PT Trimegah's mean deviation, standard deviation, total risk alpha, as well as the relationship between the coefficient of variation and jensen alpha , to decide if PT Trimegah Bangun performance from the past will be repeated at some future date.
Auto-correlation | 0.59 |
Modest predictability
PT Trimegah Bangun has modest predictability. Overlapping area represents the amount of predictability between PT Trimegah time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 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 PT Trimegah Bangun price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current PT Trimegah price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 3785.74 |
PT Trimegah Bangun lagged returns against current returns
Autocorrelation, which is PT Trimegah 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 Trimegah's stock expected returns. We can calculate the autocorrelation of PT Trimegah returns to help us make a trade decision. For example, suppose you find that PT Trimegah 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 Trimegah 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 Trimegah stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PT Trimegah stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PT Trimegah stock over time.
Current vs Lagged Prices |
| Timeline |
PT Trimegah Lagged Returns
When evaluating PT Trimegah's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PT Trimegah stock have on its future price. PT Trimegah 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 Trimegah autocorrelation shows the relationship between PT Trimegah stock current value and its past values and can show if there is a momentum factor associated with investing in PT Trimegah Bangun.
Regressed Prices |
| Timeline |
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