Merck Tbk (Indonesia) Market Value
| MERK Stock | IDR 3,430 10.00 0.29% |
| Symbol | Merck |
Merck Tbk '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 Merck Tbk'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 Merck Tbk.
| 12/05/2023 |
| 11/29/2024 |
If you would invest 0.00 in Merck Tbk on December 5, 2023 and sell it all today you would earn a total of 0.00 from holding Merck Tbk or generate 0.0% return on investment in Merck Tbk over 360 days. Merck Tbk is related to or competes with Darya Varia, Tempo Scan, Pyridam Farma, Multi Bintang, and Mustika Ratu. PT Merck Tbk manufactures and sells pharmaceutical products in Indonesia More
Merck Tbk 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 Merck Tbk'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 Merck Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.43) | |||
| Maximum Drawdown | 4.66 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 0.8065 |
Merck Tbk Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Merck Tbk's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Merck Tbk's standard deviation. In reality, there are many statistical measures that can use Merck Tbk historical prices to predict the future Merck Tbk's volatility.| Risk Adjusted Performance | (0.19) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.28) | |||
| Treynor Ratio | 2.24 |
Merck Tbk Backtested Returns
Merck Tbk has Sharpe Ratio of -0.25, which conveys that the firm had a -0.25% return per unit of risk over the last 3 months. Merck Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Merck Tbk's Mean Deviation of 0.4729, risk adjusted performance of (0.19), and Standard Deviation of 0.6831 to check out the risk estimate we provide. The company secures a Beta (Market Risk) of -0.08, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Merck Tbk are expected to decrease at a much lower rate. During the bear market, Merck Tbk is likely to outperform the market. At this point, Merck Tbk has a negative expected return of -0.18%. Please make sure to verify Merck Tbk's maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to decide if Merck Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.49 |
Average predictability
Merck Tbk has average predictability. Overlapping area represents the amount of predictability between Merck Tbk time series from 5th of December 2023 to 2nd of June 2024 and 2nd of June 2024 to 29th 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 Merck Tbk price movement. The serial correlation of 0.49 indicates that about 49.0% of current Merck Tbk price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 10.2 K |
Merck Tbk lagged returns against current returns
Autocorrelation, which is Merck Tbk 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 Merck Tbk's stock expected returns. We can calculate the autocorrelation of Merck Tbk returns to help us make a trade decision. For example, suppose you find that Merck Tbk 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 |
Merck Tbk 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 Merck Tbk stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Merck Tbk stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Merck Tbk stock over time.
Current vs Lagged Prices |
| Timeline |
Merck Tbk Lagged Returns
When evaluating Merck Tbk's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Merck Tbk stock have on its future price. Merck Tbk 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, Merck Tbk autocorrelation shows the relationship between Merck Tbk stock current value and its past values and can show if there is a momentum factor associated with investing in Merck Tbk.
Regressed Prices |
| Timeline |
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Merck Tbk financial ratios help investors to determine whether Merck 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 Merck with respect to the benefits of owning Merck Tbk security.