Bank Qnb (Indonesia) Market Value
| BKSW Stock | IDR 81.00 2.00 2.53% |
| Symbol | Bank |
Bank Qnb '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 Qnb'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 Qnb.
| 12/18/2023 |
| 12/12/2024 |
If you would invest 0.00 in Bank Qnb on December 18, 2023 and sell it all today you would earn a total of 0.00 from holding Bank Qnb Indonesia or generate 0.0% return on investment in Bank Qnb over 360 days. Bank Qnb is related to or competes with Bank Victoria, Bank Mnc, Bank Bumi, Bank Capital, and Bank Pembangunan. More
Bank Qnb 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 Qnb'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 Qnb Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.79 | |||
| Information Ratio | 0.0738 | |||
| Maximum Drawdown | 51.99 | |||
| Value At Risk | (6.10) | |||
| Potential Upside | 9.84 |
Bank Qnb Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Qnb's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Qnb's standard deviation. In reality, there are many statistical measures that can use Bank Qnb historical prices to predict the future Bank Qnb's volatility.| Risk Adjusted Performance | 0.0772 | |||
| Jensen Alpha | 0.5618 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | 0.0922 | |||
| Treynor Ratio | (11.92) |
Bank Qnb Indonesia Backtested Returns
Bank Qnb appears to be very steady, given 3 months investment horizon. Bank Qnb Indonesia secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the company had a 0.1% return per unit of risk over the last 3 months. By analyzing Bank Qnb's technical indicators, you can evaluate if the expected return of 0.63% is justified by implied risk. Please makes use of Bank Qnb's Downside Deviation of 4.79, mean deviation of 3.01, and Risk Adjusted Performance of 0.0772 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bank Qnb holds a performance score of 8. The firm shows a Beta (market volatility) of -0.0467, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank Qnb are expected to decrease at a much lower rate. During the bear market, Bank Qnb is likely to outperform the market. Please check Bank Qnb's total risk alpha, treynor ratio, and the relationship between the jensen alpha and sortino ratio , to make a quick decision on whether Bank Qnb's price patterns will revert.
Auto-correlation | -0.66 |
Very good reverse predictability
Bank Qnb Indonesia has very good reverse predictability. Overlapping area represents the amount of predictability between Bank Qnb time series from 18th of December 2023 to 15th of June 2024 and 15th of June 2024 to 12th of December 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 Qnb Indonesia price movement. The serial correlation of -0.66 indicates that around 66.0% of current Bank Qnb price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.66 | |
| Spearman Rank Test | -0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 50.25 |
Bank Qnb Indonesia lagged returns against current returns
Autocorrelation, which is Bank Qnb 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 Qnb's stock expected returns. We can calculate the autocorrelation of Bank Qnb returns to help us make a trade decision. For example, suppose you find that Bank Qnb 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 Qnb 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 Qnb stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Qnb stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Qnb stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Qnb Lagged Returns
When evaluating Bank Qnb's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Qnb stock have on its future price. Bank Qnb 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 Qnb autocorrelation shows the relationship between Bank Qnb stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Qnb Indonesia.
Regressed Prices |
| Timeline |
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Bank Qnb financial ratios help investors to determine whether Bank 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 Bank with respect to the benefits of owning Bank Qnb security.