Semen Indonesia (Indonesia) Market Value
| SMGR Stock | IDR 3,420 80.00 2.29% |
| Symbol | Semen |
Semen Indonesia '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 Semen Indonesia'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 Semen Indonesia.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Semen Indonesia on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Semen Indonesia Persero or generate 0.0% return on investment in Semen Indonesia over 30 days. Semen Indonesia is related to or competes with Indocement Tunggal, United Tractors, Jasa Marga, PT Indofood, and Perusahaan Gas. More
Semen Indonesia 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 Semen Indonesia'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 Semen Indonesia Persero upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 12.11 | |||
| Value At Risk | (3.94) | |||
| Potential Upside | 3.59 |
Semen Indonesia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Semen Indonesia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Semen Indonesia's standard deviation. In reality, there are many statistical measures that can use Semen Indonesia historical prices to predict the future Semen Indonesia's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.22) | |||
| Total Risk Alpha | (0.56) | |||
| Treynor Ratio | 4.4 |
Semen Indonesia Persero Backtested Returns
Semen Indonesia Persero owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0974, which indicates the firm had a -0.0974% return per unit of risk over the last 3 months. Semen Indonesia Persero exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Semen Indonesia's Coefficient Of Variation of (993.32), variance of 4.81, and Risk Adjusted Performance of (0.07) to confirm the risk estimate we provide. The entity has a beta of -0.0525, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Semen Indonesia are expected to decrease at a much lower rate. During the bear market, Semen Indonesia is likely to outperform the market. At this point, Semen Indonesia Persero has a negative expected return of -0.22%. Please make sure to validate Semen Indonesia's value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Semen Indonesia Persero performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.53 |
Modest predictability
Semen Indonesia Persero has modest predictability. Overlapping area represents the amount of predictability between Semen Indonesia time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Semen Indonesia Persero price movement. The serial correlation of 0.53 indicates that about 53.0% of current Semen Indonesia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 6819.83 |
Semen Indonesia Persero lagged returns against current returns
Autocorrelation, which is Semen Indonesia 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 Semen Indonesia's stock expected returns. We can calculate the autocorrelation of Semen Indonesia returns to help us make a trade decision. For example, suppose you find that Semen Indonesia 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 |
Semen Indonesia 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 Semen Indonesia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Semen Indonesia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Semen Indonesia stock over time.
Current vs Lagged Prices |
| Timeline |
Semen Indonesia Lagged Returns
When evaluating Semen Indonesia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Semen Indonesia stock have on its future price. Semen Indonesia 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, Semen Indonesia autocorrelation shows the relationship between Semen Indonesia stock current value and its past values and can show if there is a momentum factor associated with investing in Semen Indonesia Persero.
Regressed Prices |
| Timeline |
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Semen Indonesia financial ratios help investors to determine whether Semen 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 Semen with respect to the benefits of owning Semen Indonesia security.