Sumber Mas (Indonesia) Market Value
| SMKM Stock | 71.00 2.00 2.74% |
| Symbol | Sumber |
Sumber 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 Sumber 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 Sumber Mas.
| 11/17/2024 |
| 12/17/2024 |
If you would invest 0.00 in Sumber Mas on November 17, 2024 and sell it all today you would earn a total of 0.00 from holding Sumber Mas Konstruksi or generate 0.0% return on investment in Sumber Mas over 30 days. Sumber Mas is related to or competes with Wahana Inti, Sumber Tani, Nanotech Indonesia, RMK Energy, and Protech Mitra. More
Sumber 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 Sumber 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 Sumber Mas Konstruksi upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 14.4 | |||
| Value At Risk | (4.30) | |||
| Potential Upside | 5.95 |
Sumber Mas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sumber Mas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sumber Mas' standard deviation. In reality, there are many statistical measures that can use Sumber Mas historical prices to predict the future Sumber Mas' volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.27) | |||
| Total Risk Alpha | (0.53) | |||
| Treynor Ratio | (0.59) |
Sumber Mas Konstruksi Backtested Returns
Sumber Mas Konstruksi owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0591, which indicates the firm had a -0.0591% return per unit of risk over the last 3 months. Sumber Mas Konstruksi exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sumber Mas' Coefficient Of Variation of (1,236), variance of 7.91, and Risk Adjusted Performance of (0.05) to confirm the risk estimate we provide. The entity has a beta of 0.4, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sumber Mas' returns are expected to increase less than the market. However, during the bear market, the loss of holding Sumber Mas is expected to be smaller as well. At this point, Sumber Mas Konstruksi has a negative expected return of -0.19%. Please make sure to validate Sumber Mas' total risk alpha, maximum drawdown, skewness, as well as the relationship between the treynor ratio and potential upside , to decide if Sumber Mas Konstruksi performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.29 |
Poor predictability
Sumber Mas Konstruksi has poor predictability. Overlapping area represents the amount of predictability between Sumber Mas time series from 17th of November 2024 to 2nd of December 2024 and 2nd of December 2024 to 17th 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 Sumber Mas Konstruksi price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Sumber Mas price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 5.41 |
Sumber Mas Konstruksi lagged returns against current returns
Autocorrelation, which is Sumber 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 Sumber Mas' stock expected returns. We can calculate the autocorrelation of Sumber Mas returns to help us make a trade decision. For example, suppose you find that Sumber 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 |
Sumber 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 Sumber Mas stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sumber Mas stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sumber Mas stock over time.
Current vs Lagged Prices |
| Timeline |
Sumber Mas Lagged Returns
When evaluating Sumber Mas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sumber Mas stock have on its future price. Sumber 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, Sumber Mas autocorrelation shows the relationship between Sumber Mas stock current value and its past values and can show if there is a momentum factor associated with investing in Sumber Mas Konstruksi.
Regressed Prices |
| Timeline |
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Sumber Mas financial ratios help investors to determine whether Sumber 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 Sumber with respect to the benefits of owning Sumber Mas security.