Semacom Integrated (Indonesia) Market Value
| SEMA Stock | 86.00 1.00 1.15% |
| Symbol | Semacom |
Semacom Integrated '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 Semacom Integrated'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 Semacom Integrated.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Semacom Integrated on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Semacom Integrated Tbk or generate 0.0% return on investment in Semacom Integrated over 30 days. Semacom Integrated is related to or competes with RMK Energy, Sumber Global, PT Hasnur, and Surya Biru. More
Semacom Integrated 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 Semacom Integrated'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 Semacom Integrated Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 12.27 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 2.47 |
Semacom Integrated Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Semacom Integrated's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Semacom Integrated's standard deviation. In reality, there are many statistical measures that can use Semacom Integrated historical prices to predict the future Semacom Integrated's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.66) | |||
| Treynor Ratio | 0.583 |
Semacom Integrated Tbk Backtested Returns
Semacom Integrated Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.18, which indicates the firm had a -0.18% return per unit of risk over the last 3 months. Semacom Integrated Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Semacom Integrated's Coefficient Of Variation of (561.03), risk adjusted performance of (0.13), and Variance of 3.92 to confirm the risk estimate we provide. The entity has a beta of -0.62, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Semacom Integrated are expected to decrease at a much lower rate. During the bear market, Semacom Integrated is likely to outperform the market. At this point, Semacom Integrated Tbk has a negative expected return of -0.36%. Please make sure to validate Semacom Integrated's value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Semacom Integrated Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.69 |
Very good reverse predictability
Semacom Integrated Tbk has very good reverse predictability. Overlapping area represents the amount of predictability between Semacom Integrated time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 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 Semacom Integrated Tbk price movement. The serial correlation of -0.69 indicates that around 69.0% of current Semacom Integrated price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 2.78 |
Semacom Integrated Tbk lagged returns against current returns
Autocorrelation, which is Semacom Integrated 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 Semacom Integrated's stock expected returns. We can calculate the autocorrelation of Semacom Integrated returns to help us make a trade decision. For example, suppose you find that Semacom Integrated 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 |
Semacom Integrated 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 Semacom Integrated stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Semacom Integrated stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Semacom Integrated stock over time.
Current vs Lagged Prices |
| Timeline |
Semacom Integrated Lagged Returns
When evaluating Semacom Integrated's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Semacom Integrated stock have on its future price. Semacom Integrated 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, Semacom Integrated autocorrelation shows the relationship between Semacom Integrated stock current value and its past values and can show if there is a momentum factor associated with investing in Semacom Integrated Tbk.
Regressed Prices |
| Timeline |
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Semacom Integrated financial ratios help investors to determine whether Semacom 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 Semacom with respect to the benefits of owning Semacom Integrated security.