Siantar Top (Indonesia) Market Value
| STTP Stock | IDR 13,525 375.00 2.70% |
| Symbol | Siantar |
Siantar Top '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 Siantar Top'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 Siantar Top.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Siantar Top on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Siantar Top Tbk or generate 0.0% return on investment in Siantar Top over 30 days. Siantar Top is related to or competes with Sekar Laut, Prasidha Aneka, Mandom Indonesia, Multi Bintang, and Ultra Jaya. PT Siantar Top Tbk, together with its subsidiaries, manufactures and sells snacks in Indonesia More
Siantar Top 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 Siantar Top'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 Siantar Top Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.12 | |||
| Information Ratio | 4.0E-4 | |||
| Maximum Drawdown | 25.61 | |||
| Value At Risk | (2.95) | |||
| Potential Upside | 4.34 |
Siantar Top Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siantar Top's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siantar Top's standard deviation. In reality, there are many statistical measures that can use Siantar Top historical prices to predict the future Siantar Top's volatility.| Risk Adjusted Performance | 0.038 | |||
| Jensen Alpha | 0.1679 | |||
| Total Risk Alpha | (0.46) | |||
| Sortino Ratio | 5.0E-4 | |||
| Treynor Ratio | (0.42) |
Siantar Top Tbk Backtested Returns
Siantar Top Tbk owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0666, which indicates the firm had a -0.0666% return per unit of risk over the last 3 months. Siantar Top Tbk exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siantar Top's Coefficient Of Variation of 2538.16, semi deviation of 2.13, and Risk Adjusted Performance of 0.038 to confirm the risk estimate we provide. The entity has a beta of -0.3, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Siantar Top are expected to decrease at a much lower rate. During the bear market, Siantar Top is likely to outperform the market. At this point, Siantar Top Tbk has a negative expected return of -0.19%. Please make sure to validate Siantar Top's coefficient of variation, jensen alpha, and the relationship between the downside deviation and standard deviation , to decide if Siantar Top Tbk performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.20 |
Weak predictability
Siantar Top Tbk has weak predictability. Overlapping area represents the amount of predictability between Siantar Top 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 Siantar Top Tbk price movement. The serial correlation of 0.2 indicates that over 20.0% of current Siantar Top price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 72.9 K |
Siantar Top Tbk lagged returns against current returns
Autocorrelation, which is Siantar Top 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 Siantar Top's stock expected returns. We can calculate the autocorrelation of Siantar Top returns to help us make a trade decision. For example, suppose you find that Siantar Top 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 |
Siantar Top 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 Siantar Top stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siantar Top stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siantar Top stock over time.
Current vs Lagged Prices |
| Timeline |
Siantar Top Lagged Returns
When evaluating Siantar Top's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siantar Top stock have on its future price. Siantar Top 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, Siantar Top autocorrelation shows the relationship between Siantar Top stock current value and its past values and can show if there is a momentum factor associated with investing in Siantar Top Tbk.
Regressed Prices |
| Timeline |
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Siantar Top financial ratios help investors to determine whether Siantar 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 Siantar with respect to the benefits of owning Siantar Top security.