PT Indofood (Indonesia) Backtesting

ICBP -- Indonesia Stock  

IDR 8,850  25.00  0.28%

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

PT Indofood 'What if' Analysis

August 20, 2018
No Change 0.00  0.0%
In 31 days
September 19, 2018
If you would invest  0.00  in PT Indofood on August 20, 2018 and sell it all today you would earn a total of 0.00 from holding PT Indofood CBP Sukses Makmur Tbk or generate 0.0% return on investment in PT Indofood over 30 days. PT Indofood is related to or competes with PT Charoen, PT Mayora, PT Indofood, PT Matahari, PT Gudang, and PT Ultrajaya.

PT Indofood Upside/Downside Indicators

Information Ratio0.06
Maximum Drawdown8.64
Value At Risk2.26
Potential Upside2.92

PT Indofood Market Premium Indicators

Risk Adjusted Performance7.0E-4
Jensen Alpha0.1
Total Risk Alpha0.63
Treynor Ratio0.14

PT Indofood CBP Backtested Returns

We consider PT Indofood not too risky. PT Indofood CBP retains Efficiency (Sharpe Ratio) of 0.0204 which implies PT Indofood CBP had 0.0204% 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 stock specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for PT Indofood which you can use to evaluate future volatility of the company. Please check PT Indofood CBP Sukses Makmur Tbk Standard Deviation of 2.4 and Market Risk Adjusted Performance of 0.13 to confirm if risk estimate we provide are consistent with the epected return of 0.0206%. PT Indofood has performance score of 1 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of 0.407 which implies as returns on market increase, PT Indofood returns are expected to increase less than the market. However during bear market, the loss on holding PT Indofood will be expected to be smaller as well.. Although it is extremely important to respect PT Indofood CBP existing price patterns, it is better to be realistic regarding the information on 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 Indofood CBP technical indicators you can at this time evaluate if the expected return of 0.0206% will be sustainable into the future. PT Indofood CBP at this moment owns a risk of 1.0072%. Please check PT Indofood CBP Sukses Makmur Tbk Mean Deviation, Downside Deviation, Standard Deviation, as well as the relationship between Semi Deviation and Coefficient Of Variation to decide if PT Indofood CBP Sukses Makmur Tbk will be following its current price history.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.22 

Weak predictability

PT Indofood CBP Sukses Makmur Tbk has weak predictability. Overlapping area represents the amount of predictability between PT Indofood time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 Indofood CBP price movement. The serial correlation of 0.22 indicates that over 22.0% of current PT Indofood price fluctuation can be explain by its past prices.
Correlation Coefficient0.22
Spearman Rank Test-0.6
Residual Average0.0
Price Variance9645.06

PT Indofood CBP lagged returns against current returns

 Current and Lagged Values 

PT Indofood regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PT Indofood Lagged Returns

 Regressed Prices 

Current Sentiment - ICBP

PT Indofood CBP Investor Sentiment

Most of Macroaxis users are currently bullish on PT Indofood CBP Sukses Makmur Tbk. What is your perspective on investing in PT Indofood CBP Sukses Makmur Tbk? Are you bullish or bearish?
98% Bullish
2% Bearish

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Please also check PT Indofood Hype Analysis, PT Indofood Correlation, PT Indofood Valuation, PT Indofood Volatility as well as analyze PT Indofood Alpha and Beta and PT Indofood Performance. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.