Bank Danamon (Indonesia) Market Value
| BDMN Stock | IDR 2,520 20.00 0.79% |
| Symbol | Bank |
Bank Danamon '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 Danamon'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 Danamon.
| 04/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Bank Danamon on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Danamon Indonesia or generate 0.0% return on investment in Bank Danamon over 240 days. Bank Danamon is related to or competes with Paninvest Tbk, Mitra Pinasthika, Jakarta Int, Asuransi Harta, Indosterling Technomedia, Indosat Tbk, and PT Kusuma. More
Bank Danamon 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 Danamon'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 Danamon Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 2.72 | |||
| Value At Risk | (1.15) | |||
| Potential Upside | 1.15 |
Bank Danamon Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Danamon's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Danamon's standard deviation. In reality, there are many statistical measures that can use Bank Danamon historical prices to predict the future Bank Danamon's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | 0.3887 |
Bank Danamon Indonesia Backtested Returns
Bank Danamon Indonesia secures Sharpe Ratio (or Efficiency) of -0.0918, which signifies that the company had a -0.0918% return per unit of risk over the last 3 months. Bank Danamon Indonesia exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Danamon's Risk Adjusted Performance of (0.08), mean deviation of 0.512, and Standard Deviation of 0.6512 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bank Danamon are expected to decrease at a much lower rate. During the bear market, Bank Danamon is likely to outperform the market. At this point, Bank Danamon Indonesia has a negative expected return of -0.0597%. Please make sure to confirm Bank Danamon's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Bank Danamon Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.31 |
Poor reverse predictability
Bank Danamon Indonesia has poor reverse predictability. Overlapping area represents the amount of predictability between Bank Danamon time series from 6th of April 2024 to 4th of August 2024 and 4th of August 2024 to 2nd 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 Danamon Indonesia price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current Bank Danamon price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 2567.27 |
Bank Danamon Indonesia lagged returns against current returns
Autocorrelation, which is Bank Danamon 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 Danamon's stock expected returns. We can calculate the autocorrelation of Bank Danamon returns to help us make a trade decision. For example, suppose you find that Bank Danamon 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 Danamon 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 Danamon stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Danamon stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Danamon stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Danamon Lagged Returns
When evaluating Bank Danamon's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Danamon stock have on its future price. Bank Danamon 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 Danamon autocorrelation shows the relationship between Bank Danamon stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Danamon Indonesia.
Regressed Prices |
| Timeline |
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Bank Danamon 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 Danamon security.