Ultra Jaya (Indonesia) Market Value
| ULTJ Stock | IDR 1,720 10.00 0.58% |
| Symbol | Ultra |
Ultra Jaya '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 Ultra Jaya'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 Ultra Jaya.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in Ultra Jaya on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding Ultra Jaya Milk or generate 0.0% return on investment in Ultra Jaya over 180 days. Ultra Jaya is related to or competes with Kalbe Farma, and Akr Corporindo. More
Ultra Jaya 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 Ultra Jaya'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 Ultra Jaya Milk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 7.89 | |||
| Value At Risk | (2.25) | |||
| Potential Upside | 2.01 |
Ultra Jaya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ultra Jaya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ultra Jaya's standard deviation. In reality, there are many statistical measures that can use Ultra Jaya historical prices to predict the future Ultra Jaya's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.30) | |||
| Treynor Ratio | 16.84 |
Ultra Jaya Milk Backtested Returns
Ultra Jaya Milk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0659, which indicates the firm had a -0.0659% return per unit of risk over the last 3 months. Ultra Jaya Milk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Ultra Jaya's Coefficient Of Variation of (1,654), risk adjusted performance of (0.04), and Variance of 1.79 to confirm the risk estimate we provide. The entity has a beta of -0.0054, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ultra Jaya are expected to decrease at a much lower rate. During the bear market, Ultra Jaya is likely to outperform the market. At this point, Ultra Jaya Milk has a negative expected return of -0.088%. Please make sure to validate Ultra Jaya's potential upside, kurtosis, daily balance of power, as well as the relationship between the skewness and accumulation distribution , to decide if Ultra Jaya Milk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.07 |
Virtually no predictability
Ultra Jaya Milk has virtually no predictability. Overlapping area represents the amount of predictability between Ultra Jaya time series from 30th of May 2024 to 28th of August 2024 and 28th of August 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 Ultra Jaya Milk price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Ultra Jaya price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 4840.64 |
Ultra Jaya Milk lagged returns against current returns
Autocorrelation, which is Ultra Jaya 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 Ultra Jaya's stock expected returns. We can calculate the autocorrelation of Ultra Jaya returns to help us make a trade decision. For example, suppose you find that Ultra Jaya 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 |
Ultra Jaya 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 Ultra Jaya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ultra Jaya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ultra Jaya stock over time.
Current vs Lagged Prices |
| Timeline |
Ultra Jaya Lagged Returns
When evaluating Ultra Jaya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ultra Jaya stock have on its future price. Ultra Jaya 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, Ultra Jaya autocorrelation shows the relationship between Ultra Jaya stock current value and its past values and can show if there is a momentum factor associated with investing in Ultra Jaya Milk.
Regressed Prices |
| Timeline |
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Ultra Jaya financial ratios help investors to determine whether Ultra 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 Ultra with respect to the benefits of owning Ultra Jaya security.