Duta Intidaya (Indonesia) Market Value
| DAYA Stock | IDR 630.00 25.00 4.13% |
| Symbol | Duta |
Duta Intidaya '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 Duta Intidaya'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 Duta Intidaya.
| 10/16/2024 |
| 12/15/2024 |
If you would invest 0.00 in Duta Intidaya on October 16, 2024 and sell it all today you would earn a total of 0.00 from holding Duta Intidaya Tbk or generate 0.0% return on investment in Duta Intidaya over 60 days. Duta Intidaya is related to or competes with Pembangunan Graha, Pembangunan Jaya, Hotel Sahid, Mitrabara Adiperdana, Bank Ina, Mitrabahtera Segara, and Putra Mandiri. More
Duta Intidaya 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 Duta Intidaya'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 Duta Intidaya Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.04 | |||
| Information Ratio | 0.0801 | |||
| Maximum Drawdown | 33.8 | |||
| Value At Risk | (5.22) | |||
| Potential Upside | 5.88 |
Duta Intidaya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Duta Intidaya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Duta Intidaya's standard deviation. In reality, there are many statistical measures that can use Duta Intidaya historical prices to predict the future Duta Intidaya's volatility.| Risk Adjusted Performance | 0.0839 | |||
| Jensen Alpha | 0.4059 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0815 | |||
| Treynor Ratio | 2.76 |
Duta Intidaya Tbk Backtested Returns
Duta Intidaya appears to be very steady, given 3 months investment horizon. Duta Intidaya Tbk secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the company had a 0.13% return per unit of risk over the last 3 months. By reviewing Duta Intidaya's technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please utilize Duta Intidaya's Downside Deviation of 4.04, coefficient of variation of 958.01, and Mean Deviation of 2.34 to check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Duta Intidaya holds a performance score of 10. The firm shows a Beta (market volatility) of 0.15, which means not very significant fluctuations relative to the market. As returns on the market increase, Duta Intidaya's returns are expected to increase less than the market. However, during the bear market, the loss of holding Duta Intidaya is expected to be smaller as well. Please check Duta Intidaya's treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Duta Intidaya's price patterns will revert.
Auto-correlation | 0.23 |
Weak predictability
Duta Intidaya Tbk has weak predictability. Overlapping area represents the amount of predictability between Duta Intidaya time series from 16th of October 2024 to 15th of November 2024 and 15th of November 2024 to 15th 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 Duta Intidaya Tbk price movement. The serial correlation of 0.23 indicates that over 23.0% of current Duta Intidaya price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 211.0 |
Duta Intidaya Tbk lagged returns against current returns
Autocorrelation, which is Duta Intidaya 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 Duta Intidaya's stock expected returns. We can calculate the autocorrelation of Duta Intidaya returns to help us make a trade decision. For example, suppose you find that Duta Intidaya 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 |
Duta Intidaya 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 Duta Intidaya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Duta Intidaya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Duta Intidaya stock over time.
Current vs Lagged Prices |
| Timeline |
Duta Intidaya Lagged Returns
When evaluating Duta Intidaya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Duta Intidaya stock have on its future price. Duta Intidaya 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, Duta Intidaya autocorrelation shows the relationship between Duta Intidaya stock current value and its past values and can show if there is a momentum factor associated with investing in Duta Intidaya Tbk.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in Duta Stock
Duta Intidaya financial ratios help investors to determine whether Duta 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 Duta with respect to the benefits of owning Duta Intidaya security.