Bank Mandiri (Indonesia) Market Value
| BMRI Stock | IDR 4,760 20.00 0.42% |
| Symbol | Bank |
Bank Mandiri '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 Mandiri'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 Mandiri.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Bank Mandiri on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Mandiri Persero or generate 0.0% return on investment in Bank Mandiri over 90 days. Bank Mandiri is related to or competes with Bank Rakyat, Bank Central, Bank Negara, Astra International, and Telkom Indonesia. More
Bank Mandiri 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 Mandiri'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 Mandiri Persero upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 14.17 | |||
| Value At Risk | (5.05) | |||
| Potential Upside | 5.85 |
Bank Mandiri Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Mandiri's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Mandiri's standard deviation. In reality, there are many statistical measures that can use Bank Mandiri historical prices to predict the future Bank Mandiri's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.33) | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | (0.72) |
Bank Mandiri Persero Backtested Returns
Bank Mandiri Persero secures Sharpe Ratio (or Efficiency) of -0.15, which signifies that the company had a -0.15 % return per unit of risk over the last 3 months. Bank Mandiri Persero exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Mandiri's Standard Deviation of 2.6, risk adjusted performance of (0.12), and Mean Deviation of 1.95 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.54, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Mandiri's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Mandiri is expected to be smaller as well. At this point, Bank Mandiri Persero has a negative expected return of -0.38%. Please make sure to confirm Bank Mandiri'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 Mandiri Persero performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Bank Mandiri Persero has insignificant reverse predictability. Overlapping area represents the amount of predictability between Bank Mandiri time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 2025. 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 Mandiri Persero price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Bank Mandiri price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 146.1 K |
Bank Mandiri Persero lagged returns against current returns
Autocorrelation, which is Bank Mandiri 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 Mandiri's stock expected returns. We can calculate the autocorrelation of Bank Mandiri returns to help us make a trade decision. For example, suppose you find that Bank Mandiri 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 Mandiri 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 Mandiri stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Mandiri stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Mandiri stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Mandiri Lagged Returns
When evaluating Bank Mandiri's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Mandiri stock have on its future price. Bank Mandiri 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 Mandiri autocorrelation shows the relationship between Bank Mandiri stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Mandiri Persero.
Regressed Prices |
| Timeline |
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Bank Mandiri 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 Mandiri security.