Dana Brata (Indonesia) Market Value
| TEBE Stock | IDR 635.00 5.00 0.78% |
| Symbol | Dana |
Dana Brata '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 Dana Brata'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 Dana Brata.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Dana Brata on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Dana Brata Luhur or generate 0.0% return on investment in Dana Brata over 30 days. Dana Brata is related to or competes with Pelita Samudera, Trans Power, Kencana Energi, Pelayaran Nelly, and PT Indonesia. PT Dana Brata Luhur Tbk, a coal logistic company, provides pit to port coal hauling services in Indonesia More
Dana Brata 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 Dana Brata'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 Dana Brata Luhur upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 5.49 | |||
| Value At Risk | (1.55) | |||
| Potential Upside | 0.8 |
Dana Brata Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dana Brata's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dana Brata's standard deviation. In reality, there are many statistical measures that can use Dana Brata historical prices to predict the future Dana Brata's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | 0.2794 |
Dana Brata Luhur Backtested Returns
Dana Brata Luhur secures Sharpe Ratio (or Efficiency) of -0.0688, which denotes the company had a -0.0688% return per unit of risk over the last 3 months. Dana Brata Luhur exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Dana Brata's Mean Deviation of 0.6426, variance of 0.8821, and Standard Deviation of 0.9392 to check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.26, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Dana Brata are expected to decrease at a much lower rate. During the bear market, Dana Brata is likely to outperform the market. At this point, Dana Brata Luhur has a negative expected return of -0.065%. Please make sure to confirm Dana Brata's maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Dana Brata Luhur performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.51 |
Good reverse predictability
Dana Brata Luhur has good reverse predictability. Overlapping area represents the amount of predictability between Dana Brata time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Dana Brata Luhur price movement. The serial correlation of -0.51 indicates that about 51.0% of current Dana Brata price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.51 | |
| Spearman Rank Test | -0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 33.06 |
Dana Brata Luhur lagged returns against current returns
Autocorrelation, which is Dana Brata 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 Dana Brata's stock expected returns. We can calculate the autocorrelation of Dana Brata returns to help us make a trade decision. For example, suppose you find that Dana Brata 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 |
Dana Brata 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 Dana Brata stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dana Brata stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dana Brata stock over time.
Current vs Lagged Prices |
| Timeline |
Dana Brata Lagged Returns
When evaluating Dana Brata's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dana Brata stock have on its future price. Dana Brata 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, Dana Brata autocorrelation shows the relationship between Dana Brata stock current value and its past values and can show if there is a momentum factor associated with investing in Dana Brata Luhur.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in Dana Stock
Dana Brata financial ratios help investors to determine whether Dana 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 Dana with respect to the benefits of owning Dana Brata security.