Bank Rakyat (Indonesia) Market Value
| BBRI Stock | IDR 5,275 200.00 3.65% |
| Symbol | Bank |
Bank Rakyat '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 Bank Rakyat'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 Bank Rakyat.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Bank Rakyat on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Bank Rakyat Indonesia or generate 0.0% return on investment in Bank Rakyat over 30 days. Bank Rakyat is related to or competes with Bank Central, Bank Mandiri, Bank Negara, Telkom Indonesia, and Astra International. PT Bank Rakyat Indonesia Tbk provides various banking products and services in Indonesia, Singapore, Timor Leste, Hong K... More
Bank Rakyat 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 Bank Rakyat'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 Bank Rakyat Indonesia upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 8.59 | |||
| Value At Risk | (3.20) | |||
| Potential Upside | 2.76 |
Bank Rakyat Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank Rakyat's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank Rakyat's standard deviation. In reality, there are many statistical measures that can use Bank Rakyat historical prices to predict the future Bank Rakyat's volatility.| Risk Adjusted Performance | (0.0003) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.24) | |||
| Treynor Ratio | (0.06) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bank Rakyat's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Bank Rakyat Indonesia Backtested Returns
Bank Rakyat Indonesia secures Sharpe Ratio (or Efficiency) of -0.0232, which signifies that the company had a -0.0232% return per unit of risk over the last 3 months. Bank Rakyat Indonesia exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bank Rakyat's Standard Deviation of 1.73, mean deviation of 1.33, and Risk Adjusted Performance of (0.0003) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.52, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bank Rakyat's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank Rakyat is expected to be smaller as well. Bank Rakyat Indonesia has an expected return of -0.0431%. Please make sure to confirm Bank Rakyat Indonesia total risk alpha, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Bank Rakyat Indonesia performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.55 |
Modest predictability
Bank Rakyat Indonesia has modest predictability. Overlapping area represents the amount of predictability between Bank Rakyat time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 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 Bank Rakyat Indonesia price movement. The serial correlation of 0.55 indicates that about 55.0% of current Bank Rakyat price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 5650.0 |
Bank Rakyat Indonesia lagged returns against current returns
Autocorrelation, which is Bank Rakyat 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 Bank Rakyat's stock expected returns. We can calculate the autocorrelation of Bank Rakyat returns to help us make a trade decision. For example, suppose you find that Bank Rakyat 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 |
Bank Rakyat 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 Bank Rakyat stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank Rakyat stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank Rakyat stock over time.
Current vs Lagged Prices |
| Timeline |
Bank Rakyat Lagged Returns
When evaluating Bank Rakyat's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank Rakyat stock have on its future price. Bank Rakyat 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, Bank Rakyat autocorrelation shows the relationship between Bank Rakyat stock current value and its past values and can show if there is a momentum factor associated with investing in Bank Rakyat Indonesia.
Regressed Prices |
| Timeline |
Pair Trading with Bank Rakyat
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bank Rakyat position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bank Rakyat will appreciate offsetting losses from the drop in the long position's value.Moving against Bank Stock
| 0.48 | MCAS | M Cash Integrasi | PairCorr |
| 0.45 | MLBI | Multi Bintang Indonesia Earnings Call This Week | PairCorr |
The ability to find closely correlated positions to Bank Rakyat could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bank Rakyat when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bank Rakyat - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bank Rakyat Indonesia to buy it.
The correlation of Bank Rakyat is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bank Rakyat moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bank Rakyat Indonesia moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bank Rakyat can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Bank Rakyat Correlation, Bank Rakyat Volatility and Bank Rakyat Alpha and Beta module to complement your research on Bank Rakyat. You can also try the Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
Complementary Tools for Bank Stock analysis
When running Bank Rakyat's price analysis, check to measure Bank Rakyat's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Bank Rakyat is operating at the current time. Most of Bank Rakyat's value examination focuses on studying past and present price action to predict the probability of Bank Rakyat's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bank Rakyat's price. Additionally, you may evaluate how the addition of Bank Rakyat to your portfolios can decrease your overall portfolio volatility.
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Bank Rakyat technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.