PT Surya (Indonesia) Market Value
| SPTO Stock | IDR 575.00 5.00 0.86% |
| Symbol | SPTO |
PT Surya '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 PT Surya'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 PT Surya.
| 08/28/2024 |
| 09/27/2024 |
If you would invest 0.00 in PT Surya on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding PT Surya Pertiwi or generate 0.0% return on investment in PT Surya over 30 days. PT Surya is related to or competes with Semen Indonesia, Wijaya Karya, Perusahaan Gas, PT Indofood, and Kalbe Farma. PT Surya Pertiwi Tbk distributes bathroom and kitchen products More
PT Surya 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 PT Surya'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 PT Surya Pertiwi upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.61 | |||
| Information Ratio | 0.0706 | |||
| Maximum Drawdown | 15.07 | |||
| Value At Risk | (1.69) | |||
| Potential Upside | 1.89 |
PT Surya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PT Surya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PT Surya's standard deviation. In reality, there are many statistical measures that can use PT Surya historical prices to predict the future PT Surya's volatility.| Risk Adjusted Performance | 0.1138 | |||
| Jensen Alpha | 0.2464 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0805 | |||
| Treynor Ratio | (2.74) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PT Surya'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.
PT Surya Pertiwi Backtested Returns
PT Surya appears to be very steady, given 3 months investment horizon. PT Surya Pertiwi retains Efficiency (Sharpe Ratio) of 0.13, which implies the firm had a 0.13% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for PT Surya, which you can use to evaluate the volatility of the company. Please evaluate PT Surya's market risk adjusted performance of (2.73), and Standard Deviation of 1.84 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, PT Surya holds a performance score of 9. The company owns a Beta (Systematic Risk) of -0.0865, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning PT Surya are expected to decrease at a much lower rate. During the bear market, PT Surya is likely to outperform the market. Please check PT Surya's market risk adjusted performance, semi deviation, coefficient of variation, as well as the relationship between the mean deviation and downside deviation , to make a quick decision on whether PT Surya's current price history will revert.
Auto-correlation | 0.29 |
Poor predictability
PT Surya Pertiwi has poor predictability. Overlapping area represents the amount of predictability between PT Surya time series from 28th of August 2024 to 12th of September 2024 and 12th of September 2024 to 27th of September 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 PT Surya Pertiwi price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current PT Surya price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 46.69 |
PT Surya Pertiwi lagged returns against current returns
Autocorrelation, which is PT Surya 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 PT Surya's stock expected returns. We can calculate the autocorrelation of PT Surya returns to help us make a trade decision. For example, suppose you find that PT Surya 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 |
PT Surya 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 PT Surya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PT Surya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PT Surya stock over time.
Current vs Lagged Prices |
| Timeline |
PT Surya Lagged Returns
When evaluating PT Surya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PT Surya stock have on its future price. PT Surya 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, PT Surya autocorrelation shows the relationship between PT Surya stock current value and its past values and can show if there is a momentum factor associated with investing in PT Surya Pertiwi.
Regressed Prices |
| Timeline |
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PT Surya financial ratios help investors to determine whether SPTO 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 SPTO with respect to the benefits of owning PT Surya security.