Sinar Mas (Indonesia) Market Value
| SMAR Stock | IDR 3,840 10.00 0.26% |
| Symbol | Sinar |
Sinar Mas '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 Sinar Mas' 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 Sinar Mas.
| 12/23/2022 |
| 12/12/2024 |
If you would invest 0.00 in Sinar Mas on December 23, 2022 and sell it all today you would earn a total of 0.00 from holding Sinar Mas Agro or generate 0.0% return on investment in Sinar Mas over 720 days. Sinar Mas is related to or competes with Sampoerna Agro, Tunas Baru, Perusahaan Perkebunan, Bakrie Sumatera, and Solusi Bangun. More
Sinar Mas 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 Sinar Mas' 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 Sinar Mas Agro upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 10.3 | |||
| Value At Risk | (2.86) | |||
| Potential Upside | 1.87 |
Sinar Mas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sinar Mas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sinar Mas' standard deviation. In reality, there are many statistical measures that can use Sinar Mas historical prices to predict the future Sinar Mas' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | 0.7975 |
Sinar Mas Agro Backtested Returns
Sinar Mas Agro owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0389, which indicates the firm had a -0.0389% return per unit of risk over the last 3 months. Sinar Mas Agro exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sinar Mas' Variance of 2.78, coefficient of variation of (1,427), and Risk Adjusted Performance of (0.04) to confirm the risk estimate we provide. The entity has a beta of -0.16, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sinar Mas are expected to decrease at a much lower rate. During the bear market, Sinar Mas is likely to outperform the market. At this point, Sinar Mas Agro has a negative expected return of -0.0643%. Please make sure to validate Sinar Mas' maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Sinar Mas Agro performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.53 |
Good reverse predictability
Sinar Mas Agro has good reverse predictability. Overlapping area represents the amount of predictability between Sinar Mas time series from 23rd of December 2022 to 18th of December 2023 and 18th of December 2023 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 Sinar Mas Agro price movement. The serial correlation of -0.53 indicates that about 53.0% of current Sinar Mas price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.53 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 53.7 K |
Sinar Mas Agro lagged returns against current returns
Autocorrelation, which is Sinar Mas 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 Sinar Mas' stock expected returns. We can calculate the autocorrelation of Sinar Mas returns to help us make a trade decision. For example, suppose you find that Sinar Mas 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 |
Sinar Mas 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 Sinar Mas stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sinar Mas stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sinar Mas stock over time.
Current vs Lagged Prices |
| Timeline |
Sinar Mas Lagged Returns
When evaluating Sinar Mas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sinar Mas stock have on its future price. Sinar Mas 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, Sinar Mas autocorrelation shows the relationship between Sinar Mas stock current value and its past values and can show if there is a momentum factor associated with investing in Sinar Mas Agro.
Regressed Prices |
| Timeline |
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Sinar Mas financial ratios help investors to determine whether Sinar 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 Sinar with respect to the benefits of owning Sinar Mas security.