Surya Permata (Indonesia) Market Value
| NATO Stock | 160.00 4.00 2.56% |
| Symbol | Surya |
Surya Permata '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 Surya Permata'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 Surya Permata.
| 04/06/2024 |
| 05/06/2024 |
If you would invest 0.00 in Surya Permata on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Surya Permata Andalan or generate 0.0% return on investment in Surya Permata over 30 days. Surya Permata is related to or competes with Andalan Sakti, Bumi Benowo, Bima Sakti, Agro Yasa, and Karya Bersama. More
Surya Permata 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 Surya Permata'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 Surya Permata Andalan upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 11.28 | |||
| Value At Risk | (2.69) | |||
| Potential Upside | 2.56 |
Surya Permata Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Surya Permata's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Surya Permata's standard deviation. In reality, there are many statistical measures that can use Surya Permata historical prices to predict the future Surya Permata's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | 0.5416 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Surya Permata'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.
Surya Permata Andalan Backtested Returns
Surya Permata Andalan owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.19, which indicates the firm had a -0.19% return per unit of risk over the last 3 months. Surya Permata Andalan exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Surya Permata's Risk Adjusted Performance of (0.08), coefficient of variation of (749.23), and Variance of 2.42 to confirm the risk estimate we provide. The entity has a beta of -0.4, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Surya Permata are expected to decrease at a much lower rate. During the bear market, Surya Permata is likely to outperform the market. Surya Permata Andalan has an expected return of -0.29%. Please make sure to validate Surya Permata value at risk, skewness, accumulation distribution, as well as the relationship between the potential upside and kurtosis , to decide if Surya Permata Andalan performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.85 |
Very good predictability
Surya Permata Andalan has very good predictability. Overlapping area represents the amount of predictability between Surya Permata time series from 6th of April 2024 to 21st of April 2024 and 21st of April 2024 to 6th 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 Surya Permata Andalan price movement. The serial correlation of 0.85 indicates that around 85.0% of current Surya Permata price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 1.76 |
Surya Permata Andalan lagged returns against current returns
Autocorrelation, which is Surya Permata 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 Surya Permata's stock expected returns. We can calculate the autocorrelation of Surya Permata returns to help us make a trade decision. For example, suppose you find that Surya Permata 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 |
Surya Permata 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 Surya Permata stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Surya Permata stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Surya Permata stock over time.
Current vs Lagged Prices |
| Timeline |
Surya Permata Lagged Returns
When evaluating Surya Permata's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Surya Permata stock have on its future price. Surya Permata 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, Surya Permata autocorrelation shows the relationship between Surya Permata stock current value and its past values and can show if there is a momentum factor associated with investing in Surya Permata Andalan.
Regressed Prices |
| Timeline |
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Complementary Tools for Surya Stock analysis
When running Surya Permata's price analysis, check to measure Surya Permata'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 Surya Permata is operating at the current time. Most of Surya Permata's value examination focuses on studying past and present price action to predict the probability of Surya Permata's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Surya Permata's price. Additionally, you may evaluate how the addition of Surya Permata to your portfolios can decrease your overall portfolio volatility.
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