Samudera Indonesia (Indonesia) Market Value
| SMDR Stock | IDR 282.00 2.00 0.70% |
| Symbol | Samudera |
Samudera 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 Samudera 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 Samudera Indonesia.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Samudera Indonesia on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Samudera Indonesia Tbk or generate 0.0% return on investment in Samudera Indonesia over 30 days. Samudera Indonesia is related to or competes with PT Temas, Petrosea Tbk, Rig Tenders, Rukun Raharja, and Suparma Tbk. PT Samudera Indonesia Tbk, together with its subsidiaries, provides cargo transportation and integrated logistics servic... More
Samudera 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 Samudera 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 Samudera Indonesia Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 7.87 | |||
| Value At Risk | (2.87) | |||
| Potential Upside | 2.34 |
Samudera Indonesia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samudera Indonesia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samudera Indonesia's standard deviation. In reality, there are many statistical measures that can use Samudera Indonesia historical prices to predict the future Samudera Indonesia's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.30) | |||
| Total Risk Alpha | (0.58) | |||
| Treynor Ratio | 2.76 |
Samudera Indonesia Tbk Backtested Returns
Samudera Indonesia Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.24, which indicates the firm had a -0.24% return per unit of risk over the last 3 months. Samudera Indonesia Tbk exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Samudera Indonesia's Risk Adjusted Performance of (0.14), coefficient of variation of (515.01), and Variance of 2.48 to confirm the risk estimate we provide. The entity has a beta of -0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Samudera Indonesia are expected to decrease at a much lower rate. During the bear market, Samudera Indonesia is likely to outperform the market. At this point, Samudera Indonesia Tbk has a negative expected return of -0.37%. Please make sure to validate Samudera Indonesia's value at risk, skewness, and the relationship between the maximum drawdown and potential upside , to decide if Samudera Indonesia Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.17 |
Very weak predictability
Samudera Indonesia Tbk has very weak predictability. Overlapping area represents the amount of predictability between Samudera Indonesia 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 Samudera Indonesia Tbk price movement. The serial correlation of 0.17 indicates that over 17.0% of current Samudera Indonesia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | -0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 8.2 |
Samudera Indonesia Tbk lagged returns against current returns
Autocorrelation, which is Samudera 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 Samudera Indonesia's stock expected returns. We can calculate the autocorrelation of Samudera Indonesia returns to help us make a trade decision. For example, suppose you find that Samudera 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 |
Samudera 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 Samudera Indonesia stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samudera Indonesia stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samudera Indonesia stock over time.
Current vs Lagged Prices |
| Timeline |
Samudera Indonesia Lagged Returns
When evaluating Samudera Indonesia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samudera Indonesia stock have on its future price. Samudera 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, Samudera Indonesia autocorrelation shows the relationship between Samudera Indonesia stock current value and its past values and can show if there is a momentum factor associated with investing in Samudera Indonesia Tbk.
Regressed Prices |
| Timeline |
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Samudera Indonesia financial ratios help investors to determine whether Samudera 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 Samudera with respect to the benefits of owning Samudera Indonesia security.