Hensel Davest (Indonesia) Market Value
| HDIT Stock | 14.00 1.00 6.67% |
| Symbol | Hensel |
Hensel Davest '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 Hensel Davest'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 Hensel Davest.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Hensel Davest on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Hensel Davest Indonesia or generate 0.0% return on investment in Hensel Davest over 30 days. Hensel Davest is related to or competes with Kioson Komersial, Sentral Mitra, Multipolar Technology, Nusantara Voucher, and NFC Indonesia. More
Hensel Davest 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 Hensel Davest'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 Hensel Davest Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 19.52 | |||
| Value At Risk | (7.14) | |||
| Potential Upside | 7.14 |
Hensel Davest Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hensel Davest's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hensel Davest's standard deviation. In reality, there are many statistical measures that can use Hensel Davest historical prices to predict the future Hensel Davest's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.97) | |||
| Treynor Ratio | 0.4866 |
Hensel Davest Indonesia Backtested Returns
Hensel Davest Indonesia holds Efficiency (Sharpe) Ratio of -0.13, which attests that the entity had a -0.13% return per unit of risk over the last 3 months. Hensel Davest Indonesia exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Hensel Davest's Risk Adjusted Performance of (0.02), market risk adjusted performance of 0.4966, and Standard Deviation of 4.98 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of -0.37, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Hensel Davest are expected to decrease at a much lower rate. During the bear market, Hensel Davest is likely to outperform the market. At this point, Hensel Davest Indonesia has a negative expected return of -0.61%. Please make sure to check out Hensel Davest's treynor ratio, potential upside, and the relationship between the total risk alpha and maximum drawdown , to decide if Hensel Davest Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.16 |
Very weak predictability
Hensel Davest Indonesia has very weak predictability. Overlapping area represents the amount of predictability between Hensel Davest time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Hensel Davest Indonesia price movement. The serial correlation of 0.16 indicates that over 16.0% of current Hensel Davest price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.41 |
Hensel Davest Indonesia lagged returns against current returns
Autocorrelation, which is Hensel Davest 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 Hensel Davest's stock expected returns. We can calculate the autocorrelation of Hensel Davest returns to help us make a trade decision. For example, suppose you find that Hensel Davest 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 |
Hensel Davest 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 Hensel Davest stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hensel Davest stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hensel Davest stock over time.
Current vs Lagged Prices |
| Timeline |
Hensel Davest Lagged Returns
When evaluating Hensel Davest's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hensel Davest stock have on its future price. Hensel Davest 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, Hensel Davest autocorrelation shows the relationship between Hensel Davest stock current value and its past values and can show if there is a momentum factor associated with investing in Hensel Davest Indonesia.
Regressed Prices |
| Timeline |
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Hensel Davest financial ratios help investors to determine whether Hensel 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 Hensel with respect to the benefits of owning Hensel Davest security.