Semen Baturaja (Indonesia) Market Value
| SMBR Stock | IDR 216.00 2.00 0.93% |
| Symbol | Semen |
Semen Baturaja '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 Semen Baturaja'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 Semen Baturaja.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Semen Baturaja on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Semen Baturaja Persero or generate 0.0% return on investment in Semen Baturaja over 30 days. Semen Baturaja is related to or competes with Kedaung Indah, Langgeng Makmur, Kabelindo Murni, Mustika Ratu, and Champion Pacific. PT Semen Baturaja Tbk produces and distributes cement in Indonesia More
Semen Baturaja 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 Semen Baturaja'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 Semen Baturaja Persero upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 10.93 | |||
| Value At Risk | (3.97) | |||
| Potential Upside | 3.45 |
Semen Baturaja Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Semen Baturaja's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Semen Baturaja's standard deviation. In reality, there are many statistical measures that can use Semen Baturaja historical prices to predict the future Semen Baturaja's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.21) | |||
| Total Risk Alpha | (0.55) | |||
| Treynor Ratio | 2.01 |
Semen Baturaja Persero Backtested Returns
Semen Baturaja Persero owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.11, which indicates the firm had a -0.11% return per unit of risk over the last 3 months. Semen Baturaja Persero exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Semen Baturaja's Coefficient Of Variation of (997.11), variance of 4.45, and Risk Adjusted Performance of (0.07) to confirm the risk estimate we provide. The entity has a beta of -0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Semen Baturaja are expected to decrease at a much lower rate. During the bear market, Semen Baturaja is likely to outperform the market. At this point, Semen Baturaja Persero has a negative expected return of -0.24%. Please make sure to validate Semen Baturaja's value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Semen Baturaja Persero performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.75 |
Good predictability
Semen Baturaja Persero has good predictability. Overlapping area represents the amount of predictability between Semen Baturaja time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 Semen Baturaja Persero price movement. The serial correlation of 0.75 indicates that around 75.0% of current Semen Baturaja price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 20.43 |
Semen Baturaja Persero lagged returns against current returns
Autocorrelation, which is Semen Baturaja 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 Semen Baturaja's stock expected returns. We can calculate the autocorrelation of Semen Baturaja returns to help us make a trade decision. For example, suppose you find that Semen Baturaja 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 |
Semen Baturaja 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 Semen Baturaja stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Semen Baturaja stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Semen Baturaja stock over time.
Current vs Lagged Prices |
| Timeline |
Semen Baturaja Lagged Returns
When evaluating Semen Baturaja's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Semen Baturaja stock have on its future price. Semen Baturaja 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, Semen Baturaja autocorrelation shows the relationship between Semen Baturaja stock current value and its past values and can show if there is a momentum factor associated with investing in Semen Baturaja Persero.
Regressed Prices |
| Timeline |
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Semen Baturaja financial ratios help investors to determine whether Semen 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 Semen with respect to the benefits of owning Semen Baturaja security.