Pembangunan Jaya (Indonesia) Market Value
| PJAA Stock | IDR 590.00 5.00 0.84% |
| Symbol | Pembangunan |
Pembangunan Jaya '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 Pembangunan Jaya'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 Pembangunan Jaya.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Pembangunan Jaya on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Pembangunan Jaya Ancol or generate 0.0% return on investment in Pembangunan Jaya over 30 days. Pembangunan Jaya is related to or competes with Lautan Luas, Panorama Sentrawisata, Multi Indocitra, Hotel Sahid, and Ramayana Lestari. More
Pembangunan Jaya 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 Pembangunan Jaya'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 Pembangunan Jaya Ancol upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 4.55 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.53 |
Pembangunan Jaya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pembangunan Jaya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pembangunan Jaya's standard deviation. In reality, there are many statistical measures that can use Pembangunan Jaya historical prices to predict the future Pembangunan Jaya's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | (1.79) |
Pembangunan Jaya Ancol Backtested Returns
Pembangunan Jaya Ancol maintains Sharpe Ratio (i.e., Efficiency) of -0.19, which implies the firm had a -0.19% return per unit of risk over the last 3 months. Pembangunan Jaya Ancol exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Pembangunan Jaya's Variance of 0.8881, risk adjusted performance of (0.12), and Coefficient Of Variation of (612.53) to confirm the risk estimate we provide. The company holds a Beta of 0.0917, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pembangunan Jaya's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pembangunan Jaya is expected to be smaller as well. At this point, Pembangunan Jaya Ancol has a negative expected return of -0.17%. Please make sure to check Pembangunan Jaya's treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Pembangunan Jaya Ancol performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.92 |
Excellent predictability
Pembangunan Jaya Ancol has excellent predictability. Overlapping area represents the amount of predictability between Pembangunan Jaya time series from 1st of November 2024 to 16th of November 2024 and 16th of November 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 Pembangunan Jaya Ancol price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current Pembangunan Jaya price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 110.25 |
Pembangunan Jaya Ancol lagged returns against current returns
Autocorrelation, which is Pembangunan Jaya 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 Pembangunan Jaya's stock expected returns. We can calculate the autocorrelation of Pembangunan Jaya returns to help us make a trade decision. For example, suppose you find that Pembangunan Jaya 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 |
Pembangunan Jaya 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 Pembangunan Jaya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pembangunan Jaya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pembangunan Jaya stock over time.
Current vs Lagged Prices |
| Timeline |
Pembangunan Jaya Lagged Returns
When evaluating Pembangunan Jaya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pembangunan Jaya stock have on its future price. Pembangunan Jaya 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, Pembangunan Jaya autocorrelation shows the relationship between Pembangunan Jaya stock current value and its past values and can show if there is a momentum factor associated with investing in Pembangunan Jaya Ancol.
Regressed Prices |
| Timeline |
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Pembangunan Jaya financial ratios help investors to determine whether Pembangunan 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 Pembangunan with respect to the benefits of owning Pembangunan Jaya security.