Sido Muncul (Indonesia) Market Value
| SIDO Stock | IDR 580.00 10.00 1.75% |
| Symbol | Sido |
Sido Muncul '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 Sido Muncul'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 Sido Muncul.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Sido Muncul on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Sido Muncul PT or generate 0.0% return on investment in Sido Muncul over 30 days. Sido Muncul is related to or competes with Kalbe Farma, and Akr Corporindo. PT Industri Jamu dan Farmasi Sido Muncul Tbk provides herbal medicines, cosmetics, and foods and beverages related to he... More
Sido Muncul 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 Sido Muncul'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 Sido Muncul PT upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 10.7 | |||
| Value At Risk | (2.61) | |||
| Potential Upside | 3.05 |
Sido Muncul Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sido Muncul's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sido Muncul's standard deviation. In reality, there are many statistical measures that can use Sido Muncul historical prices to predict the future Sido Muncul's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.52) | |||
| Treynor Ratio | 0.9502 |
Sido Muncul PT Backtested Returns
Sido Muncul PT owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.1, which indicates the firm had a -0.1% return per unit of risk over the last 3 months. Sido Muncul PT exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sido Muncul's Variance of 3.11, risk adjusted performance of (0.1), and Coefficient Of Variation of (753.15) to confirm the risk estimate we provide. The entity has a beta of -0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sido Muncul are expected to decrease at a much lower rate. During the bear market, Sido Muncul is likely to outperform the market. At this point, Sido Muncul PT has a negative expected return of -0.18%. Please make sure to validate Sido Muncul's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Sido Muncul PT performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.53 |
Modest predictability
Sido Muncul PT has modest predictability. Overlapping area represents the amount of predictability between Sido Muncul time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Sido Muncul PT price movement. The serial correlation of 0.53 indicates that about 53.0% of current Sido Muncul price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 91.32 |
Sido Muncul PT lagged returns against current returns
Autocorrelation, which is Sido Muncul 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 Sido Muncul's stock expected returns. We can calculate the autocorrelation of Sido Muncul returns to help us make a trade decision. For example, suppose you find that Sido Muncul 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 |
Sido Muncul 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 Sido Muncul stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sido Muncul stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sido Muncul stock over time.
Current vs Lagged Prices |
| Timeline |
Sido Muncul Lagged Returns
When evaluating Sido Muncul's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sido Muncul stock have on its future price. Sido Muncul 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, Sido Muncul autocorrelation shows the relationship between Sido Muncul stock current value and its past values and can show if there is a momentum factor associated with investing in Sido Muncul PT.
Regressed Prices |
| Timeline |
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Sido Muncul financial ratios help investors to determine whether Sido 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 Sido with respect to the benefits of owning Sido Muncul security.