Bank Tabungan Negara Backtested Returns
Macroaxis considers Bank Tabungan to be not too risky. Bank Tabungan Negara
secures Sharpe Ratio (or Efficiency) of -0.1326 which signifies that Bank Tabungan Negara
had -0.1326% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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
. Bank Tabungan Negara exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Bank Tabungan Negara Risk Adjusted Performance
of (0.015301) and Mean Deviation of 1.62 to double-check risk estimate we provide. Macroaxis gives Bank Tabungan performance score of 0 on a scale of 0 to 100. The firm shows Beta (market volatility) of -2.9279 which signifies that as returns on market increase, returns on owning Bank Tabungan are expected to decrease by larger amounts. On the other hand, during market turmoil, Bank Tabungan is expected to significantly outperform it.. Even though it is essential to pay attention to Bank Tabungan Negara historical returns, it is always good to be careful when utilizing equity current trending patternss. Macroaxis philosophy towards foreseeing 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. Bank Tabungan Negara exposes twenty-one different technical indicators which can help you to evaluate its performance. Bank Tabungan Negara has expected return of -0.2922%. Please be advised to 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 past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.75) |
Almost perfect reverse predictability
Bank Tabungan Negara has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Bank Tabungan time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 2017. 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 -0.75 indicates that around 75.0% of current Bank Tabungan price fluctuation can be explain by its past prices. Given that Bank Tabungan Negara has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bank Tabungan for similar time interval.
|Correlation Coefficient|| -0.75|
|Spearman Rank Test|| -0.26|
|Price Variance|| 2533.88|
|Lagged Price Variance|| 12859.5|
Bank Tabungan Lagged Returns