Bank Tabungan (Indonesia) Backtesting

Bank Tabungan Negara -- Indonesia Stock  

IDR 3,640  20  0.55%

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

Bank Tabungan 'What if' Analysis

December 24, 2017
No Change 0.00  0.0%
In 30 days
January 23, 2018
If you would invest  0.00  in Bank Tabungan on December 24, 2017 and sell it all today you would earn a total of 0.00 from holding Bank Tabungan Negara or generate 0.0% return on investment in Bank Tabungan over 30 days. Bank Tabungan is related to or competes with Bank Negara, Bank Rakyat, Bank Central, Bank Pembangunan, Bank Pan, and Bank Maybank. Bank Tabungan is entity of Indonesia. It is traded as Stock on JKT exchange.

Bank Tabungan Upside/Downside Indicators


Bank Tabungan Market Premium Indicators

Bank Tabungan Negara lagged returns against current returns

 Current and Lagged Values 

Bank Tabungan regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bank Tabungan Negara Backtested Returns

We consider Bank Tabungan not too risky. Bank Tabungan Negara secures Sharpe Ratio (or Efficiency) of 0.1476 which signifies that Bank Tabungan Negara had 0.1476% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a stock is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Bank Tabungan Negara which you can use to evaluate future volatility of the firm. Please confirm Bank Tabungan Negara Downside Deviation of 1.72, Risk Adjusted Performance of 0.0717 and Mean Deviation of 0.7702 to double-check if risk estimate we provide are consistent with the epected return of 0.186%. Bank Tabungan has performance score of 9 on a scale of 0 to 100. The firm shows Beta (market volatility) of 0.0458 which signifies that as returns on market increase, Bank Tabungan returns are expected to increase less than the market. However during bear market, the loss on holding Bank Tabungan will be expected to be smaller as well.. Although it is extremely important to respect Bank Tabungan Negara historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Bank Tabungan Negara technical indicators you can presently evaluate if the expected return of 0.186% will be sustainable into the future. Bank Tabungan Negara right now shows a risk of 1.2609%. Please confirm Bank Tabungan Negara Standard Deviation, Information Ratio, Treynor Ratio, as well as the relationship between Variance and Jensen Alpha to decide if Bank Tabungan Negara will be following its price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.08 

Virtually no predictability

Bank Tabungan Negara has virtually no predictability. Overlapping area represents the amount of predictability between Bank Tabungan time series from December 24, 2017 to January 8, 2018 and January 8, 2018 to January 23, 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 Bank Tabungan Negara price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Bank Tabungan price fluctuation can be explain by its past prices.
Correlation Coefficient 0.08
Spearman Rank Test -0.38
Price Variance 5869.42
Lagged Price Variance 3277.69

Bank Tabungan Lagged Returns

 Regressed Prices 

Bank Tabungan Performance vs Jakarta Comp

The median price of Bank Tabungan for the period between Sun, Dec 24, 2017 and Tue, Jan 23, 2018 is 3590.0 with a coefficient of variation of 2.26. The daily time series for the period is distributed with a sample standard deviation of 80.74, arithmetic mean of 3566.36, and mean deviation of 69.75. The Stock received some media coverage during the period.
Price Growth (%)  
Aset bank syariah bisa tumbuh dua digit01/08/2018
Needle Action Activity Spotted in Bank Tabungan Negara Tbk a...01/22/2018