Vale Indonesia (Indonesia) Market Value
| INCO Stock | IDR 3,600 20.00 0.55% |
| Symbol | Vale |
Vale 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 Vale 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 Vale Indonesia.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Vale Indonesia on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Vale Indonesia Tbk or generate 0.0% return on investment in Vale Indonesia over 360 days. Vale Indonesia is related to or competes with Perusahaan Gas, Telkom Indonesia, Mitra Pinasthika, Jakarta Int, Indosterling Technomedia, Indosat Tbk, and Bank Negara. PT Vale Indonesia Tbk engages in the exploration, development, mining, processing, production, storage, transportation, ... More
Vale 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 Vale 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 Vale Indonesia Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 10.89 | |||
| Value At Risk | (3.01) | |||
| Potential Upside | 3.16 |
Vale Indonesia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vale Indonesia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vale Indonesia's standard deviation. In reality, there are many statistical measures that can use Vale Indonesia historical prices to predict the future Vale Indonesia's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.35) | |||
| Treynor Ratio | 0.2532 |
Vale Indonesia Tbk Backtested Returns
Vale Indonesia Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0412, which indicates the firm had a -0.0412% return per unit of risk over the last 3 months. Vale Indonesia Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vale Indonesia's Variance of 3.0, risk adjusted performance of (0.02), and Coefficient Of Variation of (3,395) to confirm the risk estimate we provide. The entity has a beta of -0.24, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Vale Indonesia are expected to decrease at a much lower rate. During the bear market, Vale Indonesia is likely to outperform the market. At this point, Vale Indonesia Tbk has a negative expected return of -0.0701%. Please make sure to validate Vale Indonesia's total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Vale Indonesia Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.32 |
Below average predictability
Vale Indonesia Tbk has below average predictability. Overlapping area represents the amount of predictability between Vale Indonesia time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st 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 Vale Indonesia Tbk price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Vale Indonesia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 52.9 K |
Vale Indonesia Tbk lagged returns against current returns
Autocorrelation, which is Vale 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 Vale Indonesia's stock expected returns. We can calculate the autocorrelation of Vale Indonesia returns to help us make a trade decision. For example, suppose you find that Vale 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 |
Vale 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 Vale Indonesia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vale Indonesia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vale Indonesia stock over time.
Current vs Lagged Prices |
| Timeline |
Vale Indonesia Lagged Returns
When evaluating Vale Indonesia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vale Indonesia stock have on its future price. Vale 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, Vale Indonesia autocorrelation shows the relationship between Vale Indonesia stock current value and its past values and can show if there is a momentum factor associated with investing in Vale Indonesia Tbk.
Regressed Prices |
| Timeline |
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Vale Indonesia financial ratios help investors to determine whether Vale 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 Vale with respect to the benefits of owning Vale Indonesia security.