Bank Maspion (Indonesia) Market Value
| BMAS Stock | IDR 600.00 5.00 0.84% |
| Symbol | Bank |
Bank Maspion '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 Maspion'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 Maspion.
| 12/28/2022 |
| 12/17/2024 |
If you would invest 0.00 in Bank Maspion on December 28, 2022 and sell it all today you would earn a total of 0.00 from holding Bank Maspion Indonesia or generate 0.0% return on investment in Bank Maspion over 720 days. Bank Maspion is related to or competes with Bank Mestika, Bank Sinarmas, Bank Ina, Bank Qnb, and Bank Bumi. PT Bank Maspion Indonesia Tbk provides various banking products and services More
Bank Maspion 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 Maspion'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 Maspion Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.73 | |||
| Information Ratio | 0.033 | |||
| Maximum Drawdown | 34.87 | |||
| Value At Risk | (5.69) | |||
| Potential Upside | 7.28 |
Bank Maspion Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Maspion's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Maspion's standard deviation. In reality, there are many statistical measures that can use Bank Maspion historical prices to predict the future Bank Maspion's volatility.| Risk Adjusted Performance | 0.0438 | |||
| Jensen Alpha | 0.2492 | |||
| Total Risk Alpha | (0.31) | |||
| Sortino Ratio | 0.0482 | |||
| Treynor Ratio | 3.32 |
Bank Maspion Indonesia Backtested Returns
Bank Maspion Indonesia secures Sharpe Ratio (or Efficiency) of -0.22, which signifies that the company had a -0.22% return per unit of risk over the last 3 months. Bank Maspion Indonesia exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Maspion's Downside Deviation of 3.73, mean deviation of 2.85, and Risk Adjusted Performance of 0.0438 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0767, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank Maspion's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Maspion is expected to be smaller as well. At this point, Bank Maspion Indonesia has a negative expected return of -0.61%. Please make sure to confirm Bank Maspion's information ratio, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Bank Maspion Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.18 |
Insignificant reverse predictability
Bank Maspion Indonesia has insignificant reverse predictability. Overlapping area represents the amount of predictability between Bank Maspion time series from 28th of December 2022 to 23rd of December 2023 and 23rd of December 2023 to 17th 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 Maspion Indonesia price movement. The serial correlation of -0.18 indicates that over 18.0% of current Bank Maspion price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.18 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 10.6 K |
Bank Maspion Indonesia lagged returns against current returns
Autocorrelation, which is Bank Maspion 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 Maspion's stock expected returns. We can calculate the autocorrelation of Bank Maspion returns to help us make a trade decision. For example, suppose you find that Bank Maspion 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 Maspion 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 Maspion stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Maspion stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Maspion stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Maspion Lagged Returns
When evaluating Bank Maspion's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Maspion stock have on its future price. Bank Maspion 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 Maspion autocorrelation shows the relationship between Bank Maspion stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Maspion Indonesia.
Regressed Prices |
| Timeline |
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Bank Maspion 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 Maspion security.