Mnc Land (Indonesia) Market Value
| KPIG Stock | IDR 152.00 1.00 0.66% |
| Symbol | Mnc |
Mnc Land '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 Mnc Land'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 Mnc Land.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Mnc Land on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Mnc Land Tbk or generate 0.0% return on investment in Mnc Land over 30 days. Mnc Land is related to or competes with Modernland Realty, Jaya Real, Lippo Cikarang, Jakarta Int, and Intiland Development. More
Mnc Land 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 Mnc Land'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 Mnc Land Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 22.57 | |||
| Value At Risk | (5.81) | |||
| Potential Upside | 6.29 |
Mnc Land Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mnc Land's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mnc Land's standard deviation. In reality, there are many statistical measures that can use Mnc Land historical prices to predict the future Mnc Land's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.39) | |||
| Total Risk Alpha | (0.88) | |||
| Treynor Ratio | (0.22) |
Mnc Land Tbk Backtested Returns
Mnc Land Tbk has Sharpe Ratio of -0.0922, which conveys that the firm had a -0.0922% return per unit of risk over the last 3 months. Mnc Land exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mnc Land's Standard Deviation of 3.93, risk adjusted performance of (0.04), and Mean Deviation of 2.51 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of 1.16, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Mnc Land will likely underperform. At this point, Mnc Land Tbk has a negative expected return of -0.33%. Please make sure to verify Mnc Land's coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if Mnc Land Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.25 |
Poor predictability
Mnc Land Tbk has poor predictability. Overlapping area represents the amount of predictability between Mnc Land time series from 12th of November 2024 to 27th of November 2024 and 27th of November 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 Mnc Land Tbk price movement. The serial correlation of 0.25 indicates that over 25.0% of current Mnc Land price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.25 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 3.32 |
Mnc Land Tbk lagged returns against current returns
Autocorrelation, which is Mnc Land 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 Mnc Land's stock expected returns. We can calculate the autocorrelation of Mnc Land returns to help us make a trade decision. For example, suppose you find that Mnc Land 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 |
Mnc Land 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 Mnc Land stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mnc Land stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mnc Land stock over time.
Current vs Lagged Prices |
| Timeline |
Mnc Land Lagged Returns
When evaluating Mnc Land's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mnc Land stock have on its future price. Mnc Land 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, Mnc Land autocorrelation shows the relationship between Mnc Land stock current value and its past values and can show if there is a momentum factor associated with investing in Mnc Land 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 Mnc Stock
Mnc Land financial ratios help investors to determine whether Mnc 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 Mnc with respect to the benefits of owning Mnc Land security.