BANK MANDIRI (Germany) Market Value
| PQ9 Stock | 0.35 0.02 6.06% |
| Symbol | BANK |
BANK 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 BANK 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 BANK MANDIRI.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in BANK MANDIRI on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding BANK MANDIRI or generate 0.0% return on investment in BANK MANDIRI over 90 days. BANK MANDIRI is related to or competes with Richardson Electronics, ANTA SPORTS, Nucletron Electronic, Samsung Electronics, Methode Electronics, PARKEN Sport, and Sporttotal. More
BANK 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 BANK 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 BANK MANDIRI upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 8.44 | |||
| Value At Risk | (2.94) | |||
| Potential Upside | 3.03 |
BANK MANDIRI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BANK MANDIRI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BANK MANDIRI's standard deviation. In reality, there are many statistical measures that can use BANK MANDIRI historical prices to predict the future BANK MANDIRI's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.46) | |||
| Treynor Ratio | (0.35) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BANK MANDIRI's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
BANK MANDIRI Backtested Returns
BANK MANDIRI secures Sharpe Ratio (or Efficiency) of -0.0274, which signifies that the company had a -0.0274% return per unit of risk over the last 3 months. BANK MANDIRI exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BANK MANDIRI's Variance of 4.71, mean deviation of 1.59, and Coefficient Of Variation of (2,000) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.34, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BANK MANDIRI's returns are expected to increase less than the market. However, during the bear market, the loss of holding BANK MANDIRI is expected to be smaller as well. At this point, BANK MANDIRI has a negative expected return of -0.0618%. Please make sure to confirm BANK MANDIRI's treynor ratio and the relationship between the kurtosis and period momentum indicator , to decide if BANK MANDIRI performance from the past will be repeated in the future.
Auto-correlation | 0.09 |
Virtually no predictability
BANK MANDIRI has virtually no predictability. Overlapping area represents the amount of predictability between BANK MANDIRI time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 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 BANK MANDIRI price movement. The serial correlation of 0.09 indicates that less than 9.0% of current BANK MANDIRI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.09 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
BANK MANDIRI lagged returns against current returns
Autocorrelation, which is BANK 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 BANK MANDIRI's stock expected returns. We can calculate the autocorrelation of BANK MANDIRI returns to help us make a trade decision. For example, suppose you find that BANK 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 |
BANK 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 BANK MANDIRI stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BANK MANDIRI stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BANK MANDIRI stock over time.
Current vs Lagged Prices |
| Timeline |
BANK MANDIRI Lagged Returns
When evaluating BANK MANDIRI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BANK MANDIRI stock have on its future price. BANK 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, BANK MANDIRI autocorrelation shows the relationship between BANK MANDIRI stock current value and its past values and can show if there is a momentum factor associated with investing in BANK MANDIRI.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for BANK Stock Analysis
When running BANK MANDIRI's price analysis, check to measure BANK MANDIRI's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy BANK MANDIRI is operating at the current time. Most of BANK MANDIRI's value examination focuses on studying past and present price action to predict the probability of BANK MANDIRI's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move BANK MANDIRI's price. Additionally, you may evaluate how the addition of BANK MANDIRI to your portfolios can decrease your overall portfolio volatility.