Suparma Tbk (Indonesia) Market Value
| SPMA Stock | IDR 300.00 2.00 0.66% |
| Symbol | Suparma |
Suparma Tbk '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 Suparma Tbk'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 Suparma Tbk.
| 09/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Suparma Tbk on September 27, 2024 and sell it all today you would earn a total of 0.00 from holding Suparma Tbk or generate 0.0% return on investment in Suparma Tbk over 60 days. Suparma Tbk is related to or competes with Trias Sentosa, Slj Global, PT Sreeya, Indo Acidatama, and PT Mulia. PT Suparma Tbk manufactures and sells paper and packaging paper products in Indonesia More
Suparma Tbk 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 Suparma Tbk'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 Suparma Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.14 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 11.6 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.88 |
Suparma Tbk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Suparma Tbk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Suparma Tbk's standard deviation. In reality, there are many statistical measures that can use Suparma Tbk historical prices to predict the future Suparma Tbk's volatility.| Risk Adjusted Performance | 0.0052 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | (0.19) |
Suparma Tbk Backtested Returns
As of now, Suparma Stock is very steady. Suparma Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of 2.0E-4, which indicates the firm had a 2.0E-4% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Suparma Tbk, which you can use to evaluate the volatility of the company. Please validate Suparma Tbk's Semi Deviation of 0.8884, coefficient of variation of 225349.13, and Risk Adjusted Performance of 0.0052 to confirm if the risk estimate we provide is consistent with the expected return of 3.0E-4%. The entity has a beta of 0.0489, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Suparma Tbk's returns are expected to increase less than the market. However, during the bear market, the loss of holding Suparma Tbk is expected to be smaller as well. Suparma Tbk right now has a risk of 1.5%. Please validate Suparma Tbk treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to decide if Suparma Tbk will be following its existing price patterns.
Auto-correlation | 0.83 |
Very good predictability
Suparma Tbk has very good predictability. Overlapping area represents the amount of predictability between Suparma Tbk time series from 27th of September 2024 to 27th of October 2024 and 27th 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 Suparma Tbk price movement. The serial correlation of 0.83 indicates that around 83.0% of current Suparma Tbk price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 106.45 |
Suparma Tbk lagged returns against current returns
Autocorrelation, which is Suparma Tbk 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 Suparma Tbk's stock expected returns. We can calculate the autocorrelation of Suparma Tbk returns to help us make a trade decision. For example, suppose you find that Suparma Tbk 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 |
Suparma Tbk 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 Suparma Tbk stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Suparma Tbk stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Suparma Tbk stock over time.
Current vs Lagged Prices |
| Timeline |
Suparma Tbk Lagged Returns
When evaluating Suparma Tbk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Suparma Tbk stock have on its future price. Suparma Tbk 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, Suparma Tbk autocorrelation shows the relationship between Suparma Tbk stock current value and its past values and can show if there is a momentum factor associated with investing in Suparma Tbk.
Regressed Prices |
| Timeline |
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Suparma Tbk financial ratios help investors to determine whether Suparma 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 Suparma with respect to the benefits of owning Suparma Tbk security.