PT Bank (Indonesia) Backtesting

PT Bank Tabungan Negara Tbk -- Indonesia Stock  

IDR 3,690  30.00  0.82%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PT Bank Tabungan Negara Tbk and determine expected loss or profit from investing in PT Bank over given investment horizon. Check also PT Bank Hype Analysis, PT Bank Correlation, PT Bank Valuation, PT Bank Volatility as well as analyze PT Bank Alpha and Beta and PT Bank Performance.
 Time Horizon     30 Days    Login   to change
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Backtest

PT Bank 'What if' Analysis

February 21, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 22, 2018
0.00
If you would invest  0.00  in PT Bank on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding PT Bank Tabungan Negara Tbk or generate 0.0% return on investment in PT Bank over 60 days. PT Bank is related to or competes with PT Bank, PT Bank, PT Bank, PT Bank, P T, PT Bank, and Bank CIMB.

PT Bank Upside/Downside Indicators

Information Ratio3.0E-4
Maximum Drawdown9.01
Value At Risk3.25
Potential Upside2.98
  

PT Bank Market Premium Indicators

Risk Adjusted Performance0.071989
Jensen Alpha0.11
Total Risk Alpha0.0175
Treynor Ratio0.8603

PT Bank Tabungan Backtested Returns

Macroaxis considers PT Bank to be not too risky. PT Bank Tabungan retains Efficiency (Sharpe Ratio) of -0.0232 which implies PT Bank Tabungan had -0.0232% of return per unit of price deviation over the last 2 months. Macroaxis approach towards forecasting risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. PT Bank exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check PT Bank Tabungan Negara Tbk Standard Deviation of 1.97 and Market Risk Adjusted Performance of 0.8703 to confirm risk estimate we provide. Macroaxis gives PT Bank performance score of 0 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of -0.1119 which implies as returns on market increase, returns on owning PT Bank are expected to decrease at a much smaller rate. During bear market, PT Bank is likely to outperform the market.. Even though it is essential to pay attention to PT Bank Tabungan existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis approach towards forecasting future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. PT Bank exposes twenty-one different technical indicators which can help you to evaluate its performance. PT Bank Tabungan has expected return of -0.0404%. Please be advised to check PT Bank Tabungan Negara Tbk Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation to decide if PT Bank Tabungan past performance will be repeated at some future date.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.31 

Below average predictability

PT Bank Tabungan Negara Tbk has below average predictability. Overlapping area represents the amount of predictability between PT Bank time series from February 21, 2018 to March 23, 2018 and March 23, 2018 to April 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PT Bank Tabungan price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current PT Bank price fluctuation can be explain by its past prices.
Correlation Coefficient 0.31
Spearman Rank Test 0.09
Price Variance 7288.83
Lagged Price Variance 3673.52

PT Bank Tabungan lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PT Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PT Bank Lagged Returns

 Regressed Prices 
      Timeline 

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The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
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You can create optimal portfolios in Indonesia market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
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Check also PT Bank Hype Analysis, PT Bank Correlation, PT Bank Valuation, PT Bank Volatility as well as analyze PT Bank Alpha and Beta and PT Bank Performance. Please also try My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.