Indofood CBP (Indonesia) Backtesting

Indofood CBP Sukses Makmur Tbk -- Indonesia Stock  

IDR 8,900  75.00  0.85%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Indofood CBP Sukses Makmur Tbk and determine expected loss or profit from investing in Indofood CBP over given investment horizon. Please also check Indofood CBP Hype Analysis, Indofood CBP Correlation, Indofood CBP Valuation, Indofood CBP Volatility as well as analyze Indofood CBP Alpha and Beta and Indofood CBP Performance
 Time Horizon     30 Days    Login   to change
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Indofood CBP 'What if' Analysis

January 24, 2018
0.00
No Change 0.00  0.0%
In 31 days
February 23, 2018
0.00
If you would invest  0.00  in Indofood CBP on January 24, 2018 and sell it all today you would earn a total of 0.00 from holding Indofood CBP Sukses Makmur Tbk or generate 0.0% return on investment in Indofood CBP over 30 days. Indofood CBP is related to or competes with Charoen Pokphand, Indofood Sukses, Matahari Putra, and Gudang Garam.

Indofood CBP Upside/Downside Indicators

  

Indofood CBP Market Premium Indicators

Indofood CBP Sukses lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Indofood CBP regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Indofood CBP Sukses Backtested Returns

We consider Indofood CBP not too risky. Indofood CBP Sukses holds Efficiency (Sharpe) Ratio of 0.0332 which attests that Indofood CBP Sukses had 0.0332% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 Indofood CBP Sukses which you can use to evaluate future volatility of the corporation. Please check out Indofood CBP Downside Deviation of 1.36, Market Risk Adjusted Performance of 0.4885 and Risk Adjusted Performance of 0.1776 to validate if risk estimate we provide are consistent with the epected return of 0.0329%. Indofood CBP has performance score of 2 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.2053 which attests that as returns on market increase, Indofood CBP returns are expected to increase less than the market. However during bear market, the loss on holding Indofood CBP will be expected to be smaller as well.. Although it is extremely important to respect Indofood CBP Sukses current price history, it is better to be realistic regarding the information on equity current price movements. The philosophy towards determining 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 evaluating Indofood CBP Sukses technical indicators you can presently evaluate if the expected return of 0.0329% will be sustainable into the future. Indofood CBP Sukses right now retains a risk of 0.9898%. Please check out Indofood CBP Coefficient Of Variation, Variance and the relationship between Downside Deviation and Standard Deviation to decide if Indofood CBP will be following its current trending patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.08 

Virtually no predictability

Indofood CBP Sukses Makmur Tbk has virtually no predictability. Overlapping area represents the amount of predictability between Indofood CBP time series from January 24, 2018 to February 8, 2018 and February 8, 2018 to February 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 Indofood CBP Sukses price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Indofood CBP price fluctuation can be explain by its past prices.
Correlation Coefficient 0.08
Spearman Rank Test 0.72
Price Variance 5385.8
Lagged Price Variance 3888.89

Indofood CBP Lagged Returns

 Regressed Prices 
      Timeline 

Indofood CBP Performance vs Jakarta Comp

The median price of Indofood CBP for the period between Wed, Jan 24, 2018 and Fri, Feb 23, 2018 is 8825.0 with a coefficient of variation of 1.18. The daily time series for the period is distributed with a sample standard deviation of 104.52, arithmetic mean of 8834.09, and mean deviation of 80.37. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline