Bank Negara (Indonesia) Market Value
| BBNI Stock | IDR 4,830 420.00 8.00% |
| Symbol | Bank |
Bank Negara '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 Bank Negara'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 Bank Negara.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Bank Negara on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Negara Indonesia or generate 0.0% return on investment in Bank Negara over 30 days. Bank Negara is related to or competes with Bank Mandiri, Bank Rakyat, Bank Central, Astra International, and Telkom Indonesia. PT Bank Negara Indonesia Tbk, together with its subsidiaries, provides various banking products and services in Indonesi... More
Bank Negara 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 Bank Negara'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 Bank Negara Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 11.48 | |||
| Value At Risk | (2.83) | |||
| Potential Upside | 2.39 |
Bank Negara Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Negara's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Negara's standard deviation. In reality, there are many statistical measures that can use Bank Negara historical prices to predict the future Bank Negara's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | (4.17) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bank Negara's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Bank Negara Indonesia Backtested Returns
Bank Negara Indonesia secures Sharpe Ratio (or Efficiency) of -0.12, which signifies that the company had a -0.12% return per unit of risk over the last 3 months. Bank Negara Indonesia exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Negara's Risk Adjusted Performance of (0.04), standard deviation of 1.77, and Mean Deviation of 1.26 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0354, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank Negara's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Negara is expected to be smaller as well. Bank Negara Indonesia has an expected return of -0.22%. Please make sure to confirm Bank Negara Indonesia maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Bank Negara Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.30 |
Below average predictability
Bank Negara Indonesia has below average predictability. Overlapping area represents the amount of predictability between Bank Negara time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Bank Negara Indonesia price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Bank Negara price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 4114.58 |
Bank Negara Indonesia lagged returns against current returns
Autocorrelation, which is Bank Negara 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 Bank Negara's stock expected returns. We can calculate the autocorrelation of Bank Negara returns to help us make a trade decision. For example, suppose you find that Bank Negara 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 |
Bank Negara 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 Bank Negara stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Negara stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Negara stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Negara Lagged Returns
When evaluating Bank Negara's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Negara stock have on its future price. Bank Negara 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, Bank Negara autocorrelation shows the relationship between Bank Negara stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Negara Indonesia.
Regressed Prices |
| Timeline |
Pair Trading with Bank Negara
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bank Negara position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bank Negara will appreciate offsetting losses from the drop in the long position's value.Moving together with Bank Stock
| 0.93 | BBRI | Bank Rakyat Indonesia | PairCorr |
| 0.65 | BMRI | Bank Mandiri Persero | PairCorr |
Moving against Bank Stock
| 0.76 | MDKA | Merdeka Copper Gold | PairCorr |
| 0.45 | TPIA | Chandra Asri Petroch | PairCorr |
The ability to find closely correlated positions to Bank Negara could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank Negara when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bank Negara - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bank Negara Indonesia to buy it.
The correlation of Bank Negara is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bank Negara moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank Negara Indonesia moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bank Negara can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Bank Negara Correlation, Bank Negara Volatility and Bank Negara Alpha and Beta module to complement your research on Bank Negara. You can also try the Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
Complementary Tools for Bank Stock analysis
When running Bank Negara's price analysis, check to measure Bank Negara's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Bank Negara is operating at the current time. Most of Bank Negara's value examination focuses on studying past and present price action to predict the probability of Bank Negara's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bank Negara's price. Additionally, you may evaluate how the addition of Bank Negara to your portfolios can decrease your overall portfolio volatility.
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Bank Negara technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.