Bank Mega (Indonesia) Market Value
| MEGA Stock | IDR 4,630 70.00 1.54% |
| Symbol | Bank |
Bank Mega '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 Mega'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 Mega.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Bank Mega on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Mega Tbk or generate 0.0% return on investment in Bank Mega over 90 days. Bank Mega is related to or competes with Bank Ocbc, Bank Mayapada, Bank Permata, Bank Pan, and Bank Artha. More
Bank Mega 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 Mega'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 Mega Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 4.5 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 1.42 |
Bank Mega Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Mega's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Mega's standard deviation. In reality, there are many statistical measures that can use Bank Mega historical prices to predict the future Bank Mega's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | (1.40) |
Bank Mega Tbk Backtested Returns
Bank Mega Tbk secures Sharpe Ratio (or Efficiency) of -0.14, which signifies that the company had a -0.14% return per unit of risk over the last 3 months. Bank Mega Tbk exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Mega's Mean Deviation of 0.5231, standard deviation of 0.7825, and Risk Adjusted Performance of (0.11) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.0935, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank Mega's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Mega is expected to be smaller as well. At this point, Bank Mega Tbk has a negative expected return of -0.12%. Please make sure to confirm Bank Mega's treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Bank Mega Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.24 |
Weak predictability
Bank Mega Tbk has weak predictability. Overlapping area represents the amount of predictability between Bank Mega time series from 12th of September 2024 to 27th of October 2024 and 27th of October 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 Bank Mega Tbk price movement. The serial correlation of 0.24 indicates that over 24.0% of current Bank Mega price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 14 K |
Bank Mega Tbk lagged returns against current returns
Autocorrelation, which is Bank Mega 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 Mega's stock expected returns. We can calculate the autocorrelation of Bank Mega returns to help us make a trade decision. For example, suppose you find that Bank Mega 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 Mega 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 Mega stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Mega stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Mega stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Mega Lagged Returns
When evaluating Bank Mega's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Mega stock have on its future price. Bank Mega 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 Mega autocorrelation shows the relationship between Bank Mega stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Mega Tbk.
Regressed Prices |
| Timeline |
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Bank Mega 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 Mega security.