Bank Tabungan (Indonesia) Backtesting

Bank Tabungan Negara -- Indonesia Stock  

IDR 3,060  60  1.92%

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
Investment Horizon     30 Days    Login   to change

Bank Tabungan 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in Bank Tabungan on September 23, 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

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

Bank Tabungan Performance vs Jakarta Comp

The median price of Bank Tabungan for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 3070.0 with a coefficient of variation of 3.3. The daily time series for the period is distributed with a sample standard deviation of 101.63, arithmetic mean of 3083.64, and mean deviation of 81.57. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)