Bank Artos (Indonesia) Market Value
| ARTO Stock | IDR 2,640 30.00 1.12% |
| Symbol | Bank |
Bank Artos '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 Artos' 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 Artos.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Bank Artos on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Artos Indonesia or generate 0.0% return on investment in Bank Artos over 30 days. Bank Artos is related to or competes with Elang Mahkota, Bank Yudha, Bk Harda, PT Bukalapak, and Bank Rakyat. More
Bank Artos 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 Artos' 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 Artos Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 12.98 | |||
| Value At Risk | (3.85) | |||
| Potential Upside | 4.07 |
Bank Artos Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Artos' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Artos' standard deviation. In reality, there are many statistical measures that can use Bank Artos historical prices to predict the future Bank Artos' volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.53) | |||
| Treynor Ratio | 0.2031 |
Bank Artos Indonesia Backtested Returns
Bank Artos Indonesia secures Sharpe Ratio (or Efficiency) of -0.0612, which signifies that the company had a -0.0612% return per unit of risk over the last 3 months. Bank Artos Indonesia exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Artos' Risk Adjusted Performance of (0.03), standard deviation of 2.45, and Mean Deviation of 1.86 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.58, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Bank Artos are expected to decrease at a much lower rate. During the bear market, Bank Artos is likely to outperform the market. At this point, Bank Artos Indonesia has a negative expected return of -0.15%. Please make sure to confirm Bank Artos' treynor ratio, value at risk, and the relationship between the total risk alpha and maximum drawdown , to decide if Bank Artos Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Bank Artos Indonesia has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Bank Artos time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 Artos Indonesia price movement. The serial correlation of -0.74 indicates that around 74.0% of current Bank Artos price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 8024.0 |
Bank Artos Indonesia lagged returns against current returns
Autocorrelation, which is Bank Artos 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 Artos' stock expected returns. We can calculate the autocorrelation of Bank Artos returns to help us make a trade decision. For example, suppose you find that Bank Artos 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 Artos 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 Artos stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Artos stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Artos stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Artos Lagged Returns
When evaluating Bank Artos' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Artos stock have on its future price. Bank Artos 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 Artos autocorrelation shows the relationship between Bank Artos stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Artos Indonesia.
Regressed Prices |
| Timeline |
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Bank Artos 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 Artos security.