Itama Ranoraya (Indonesia) Market Value
| IRRA Stock | IDR 422.00 2.00 0.48% |
| Symbol | Itama |
Itama Ranoraya '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 Itama Ranoraya'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 Itama Ranoraya.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Itama Ranoraya on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Itama Ranoraya or generate 0.0% return on investment in Itama Ranoraya over 30 days. Itama Ranoraya is related to or competes with Kimia Farma, Indofarma Tbk, Bank BRISyariah, Bank Rakyat, and Merdeka Copper. PT Itama Ranoraya Tbk engages in the procurement of health goods in Indonesia More
Itama Ranoraya 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 Itama Ranoraya'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 Itama Ranoraya upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 4.94 | |||
| Value At Risk | (1.83) | |||
| Potential Upside | 1.26 |
Itama Ranoraya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Itama Ranoraya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Itama Ranoraya's standard deviation. In reality, there are many statistical measures that can use Itama Ranoraya historical prices to predict the future Itama Ranoraya's volatility.| Risk Adjusted Performance | (0.21) | |||
| Jensen Alpha | (0.28) | |||
| Total Risk Alpha | (0.44) | |||
| Treynor Ratio | (10.38) |
Itama Ranoraya Backtested Returns
Itama Ranoraya holds Efficiency (Sharpe) Ratio of -0.25, which attests that the entity had a -0.25% return per unit of risk over the last 3 months. Itama Ranoraya exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Itama Ranoraya's Market Risk Adjusted Performance of (10.37), risk adjusted performance of (0.21), and Standard Deviation of 0.9528 to validate the risk estimate we provide. The company retains a Market Volatility (i.e., Beta) of 0.0267, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Itama Ranoraya's returns are expected to increase less than the market. However, during the bear market, the loss of holding Itama Ranoraya is expected to be smaller as well. At this point, Itama Ranoraya has a negative expected return of -0.23%. Please make sure to check out Itama Ranoraya's standard deviation, total risk alpha, and the relationship between the coefficient of variation and jensen alpha , to decide if Itama Ranoraya performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.27 |
Poor predictability
Itama Ranoraya has poor predictability. Overlapping area represents the amount of predictability between Itama Ranoraya 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 Itama Ranoraya price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Itama Ranoraya price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 13.09 |
Itama Ranoraya lagged returns against current returns
Autocorrelation, which is Itama Ranoraya 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 Itama Ranoraya's stock expected returns. We can calculate the autocorrelation of Itama Ranoraya returns to help us make a trade decision. For example, suppose you find that Itama Ranoraya 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 |
Itama Ranoraya 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 Itama Ranoraya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Itama Ranoraya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Itama Ranoraya stock over time.
Current vs Lagged Prices |
| Timeline |
Itama Ranoraya Lagged Returns
When evaluating Itama Ranoraya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Itama Ranoraya stock have on its future price. Itama Ranoraya 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, Itama Ranoraya autocorrelation shows the relationship between Itama Ranoraya stock current value and its past values and can show if there is a momentum factor associated with investing in Itama Ranoraya.
Regressed Prices |
| Timeline |
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Itama Ranoraya financial ratios help investors to determine whether Itama 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 Itama with respect to the benefits of owning Itama Ranoraya security.