PT Bank (Indonesia) Backtesting

BBTN -- Indonesia Stock  

IDR 2,520  30.00  1.20%

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

PT Bank 'What if' Analysis

July 18, 2018
No Change 0.00  0.0%
In 31 days
August 17, 2018
If you would invest  0.00  in PT Bank on July 18, 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 30 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

Downside Deviation5.04
Information Ratio0.1442
Maximum Drawdown19.51
Value At Risk6.00
Potential Upside8.57

PT Bank Market Premium Indicators

Risk Adjusted Performance0.0982
Jensen Alpha0.7057
Total Risk Alpha0.2586
Sortino Ratio0.1291
Treynor Ratio49.07

PT Bank Tabungan Backtested Returns

Macroaxis considers PT Bank not too risky given 1 month investment horizon. PT Bank Tabungan retains Efficiency (Sharpe Ratio) of 0.1097 which implies PT Bank Tabungan had 0.1097% of return per unit of price deviation over the last 1 month. Our approach towards forecasting 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 PT Bank which you can use to evaluate future volatility of the company. Please employ PT Bank Tabungan Negara Tbk Standard Deviation of 4.51 and Market Risk Adjusted Performance of 49.08 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 PT Bank holds performance score of 7. The organization owns Beta (Systematic Risk) of 0.0144 which implies as returns on market increase, PT Bank returns are expected to increase less than the market. However during bear market, the loss on holding PT Bank will be expected to be smaller as well.. Although it is vital to follow to PT Bank Tabungan existing price patterns, it is good to be conservative about what you can actually do with the information regarding equity price patterns. The approach towards forecasting 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 inspecting PT Bank Tabungan technical indicators you can at this time evaluate if the expected return of 0.4482% will be sustainable into the future. Please employ PT Bank Tabungan Negara Tbk Semi Deviation, Coefficient Of Variation and the relationship between Mean Deviation and Downside Deviation to make a quick decision on weather PT Bank Tabungan current price history will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 

Good reverse predictability

PT Bank Tabungan Negara Tbk has good reverse predictability. Overlapping area represents the amount of predictability between PT Bank time series from July 18, 2018 to August 2, 2018 and August 2, 2018 to August 17, 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 -0.56 indicates that roughly 56.0% of current PT Bank price fluctuation can be explain by its past prices. Given that PT Bank Tabungan Negara Tbk has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PT Bank for similar time interval.
Correlation Coefficient -0.56
Spearman Rank Test -0.32
Price Variance 12604.0
Lagged Price Variance 3461.0

PT Bank Tabungan lagged returns against current returns

 Current and Lagged Values 

PT Bank regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PT Bank Lagged Returns

 Regressed Prices 

Current Sentiment - BBTN

PT Bank Tabungan Investor Sentiment
Most of Macroaxis users are currently bullish on PT Bank Tabungan Negara Tbk. What is your perspective on investing in PT Bank Tabungan Negara Tbk? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for PT Bank and PT Bank Negara. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
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 Money Managers module to screen money managers from public funds and etfs managed around the world.