Sampoerna Agro (Indonesia) Market Value
| SGRO Stock | IDR 2,190 20.00 0.92% |
| Symbol | Sampoerna |
Sampoerna Agro '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 Sampoerna Agro'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 Sampoerna Agro.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Sampoerna Agro on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding Sampoerna Agro Tbk or generate 0.0% return on investment in Sampoerna Agro over 90 days. Sampoerna Agro is related to or competes with Bakrie Sumatera, Perusahaan Perkebunan, Astra Agro, Tunas Baru, and Solusi Bangun. More
Sampoerna Agro 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 Sampoerna Agro'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 Sampoerna Agro Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9351 | |||
| Information Ratio | 0.277 | |||
| Maximum Drawdown | 3.34 | |||
| Value At Risk | (1.40) | |||
| Potential Upside | 1.42 |
Sampoerna Agro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sampoerna Agro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sampoerna Agro's standard deviation. In reality, there are many statistical measures that can use Sampoerna Agro historical prices to predict the future Sampoerna Agro's volatility.| Risk Adjusted Performance | 0.1256 | |||
| Jensen Alpha | 0.1222 | |||
| Total Risk Alpha | 0.1951 | |||
| Sortino Ratio | 0.224 | |||
| Treynor Ratio | 0.5006 |
Sampoerna Agro Tbk Backtested Returns
As of now, Sampoerna Stock is very steady. Sampoerna Agro Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the firm had a 0.16 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Sampoerna Agro Tbk, which you can use to evaluate the volatility of the company. Please validate Sampoerna Agro's Coefficient Of Variation of 684.89, risk adjusted performance of 0.1256, and Semi Deviation of 0.5295 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. Sampoerna Agro has a performance score of 12 on a scale of 0 to 100. The entity has a beta of 0.2, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sampoerna Agro's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sampoerna Agro is expected to be smaller as well. Sampoerna Agro Tbk right now has a risk of 0.71%. Please validate Sampoerna Agro jensen alpha, sortino ratio, maximum drawdown, as well as the relationship between the total risk alpha and treynor ratio , to decide if Sampoerna Agro will be following its existing price patterns.
Auto-correlation | -0.45 |
Modest reverse predictability
Sampoerna Agro Tbk has modest reverse predictability. Overlapping area represents the amount of predictability between Sampoerna Agro 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 Sampoerna Agro Tbk price movement. The serial correlation of -0.45 indicates that just about 45.0% of current Sampoerna Agro price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.45 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 177.78 |
Sampoerna Agro Tbk lagged returns against current returns
Autocorrelation, which is Sampoerna Agro 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 Sampoerna Agro's stock expected returns. We can calculate the autocorrelation of Sampoerna Agro returns to help us make a trade decision. For example, suppose you find that Sampoerna Agro 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 |
Sampoerna Agro 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 Sampoerna Agro stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sampoerna Agro stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sampoerna Agro stock over time.
Current vs Lagged Prices |
| Timeline |
Sampoerna Agro Lagged Returns
When evaluating Sampoerna Agro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sampoerna Agro stock have on its future price. Sampoerna Agro 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, Sampoerna Agro autocorrelation shows the relationship between Sampoerna Agro stock current value and its past values and can show if there is a momentum factor associated with investing in Sampoerna Agro Tbk.
Regressed Prices |
| Timeline |
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Sampoerna Agro financial ratios help investors to determine whether Sampoerna 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 Sampoerna with respect to the benefits of owning Sampoerna Agro security.