Summarecon Agung (Indonesia) Market Value
| SMRA Stock | IDR 575.00 15.00 2.68% |
| Symbol | Summarecon |
Summarecon Agung '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 Summarecon Agung'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 Summarecon Agung.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Summarecon Agung on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Summarecon Agung Tbk or generate 0.0% return on investment in Summarecon Agung over 510 days. Summarecon Agung is related to or competes with Ciputra Development, Bumi Serpong, Alam Sutera, Lippo Karawaci, and Pakuwon Jati. More
Summarecon Agung 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 Summarecon Agung'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 Summarecon Agung Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 9.59 | |||
| Value At Risk | (3.82) | |||
| Potential Upside | 4.38 |
Summarecon Agung Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Summarecon Agung's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Summarecon Agung's standard deviation. In reality, there are many statistical measures that can use Summarecon Agung historical prices to predict the future Summarecon Agung's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (11.55) |
Summarecon Agung Tbk Backtested Returns
Summarecon Agung Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0751, which indicates the firm had a -0.0751% return per unit of risk over the last 3 months. Summarecon Agung Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Summarecon Agung's Coefficient Of Variation of (2,488), variance of 5.87, and Risk Adjusted Performance of (0.02) to confirm the risk estimate we provide. The entity has a beta of 0.0093, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Summarecon Agung's returns are expected to increase less than the market. However, during the bear market, the loss of holding Summarecon Agung is expected to be smaller as well. At this point, Summarecon Agung Tbk has a negative expected return of -0.18%. Please make sure to validate Summarecon Agung's value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Summarecon Agung Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.5 |
Modest reverse predictability
Summarecon Agung Tbk has modest reverse predictability. Overlapping area represents the amount of predictability between Summarecon Agung time series from 5th of July 2023 to 16th of March 2024 and 16th of March 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 Summarecon Agung Tbk price movement. The serial correlation of -0.5 indicates that about 50.0% of current Summarecon Agung price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 4986.68 |
Summarecon Agung Tbk lagged returns against current returns
Autocorrelation, which is Summarecon Agung 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 Summarecon Agung's stock expected returns. We can calculate the autocorrelation of Summarecon Agung returns to help us make a trade decision. For example, suppose you find that Summarecon Agung 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 |
Summarecon Agung 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 Summarecon Agung stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Summarecon Agung stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Summarecon Agung stock over time.
Current vs Lagged Prices |
| Timeline |
Summarecon Agung Lagged Returns
When evaluating Summarecon Agung's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Summarecon Agung stock have on its future price. Summarecon Agung 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, Summarecon Agung autocorrelation shows the relationship between Summarecon Agung stock current value and its past values and can show if there is a momentum factor associated with investing in Summarecon Agung Tbk.
Regressed Prices |
| Timeline |
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Summarecon Agung financial ratios help investors to determine whether Summarecon 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 Summarecon with respect to the benefits of owning Summarecon Agung security.