Jasa Marga Tbk Backtested Returns
Macroaxis considers Jasa Marga to be not too risky. Jasa Marga Tbk
holds Efficiency (Sharpe) Ratio of -0.1882 which attests that Jasa Marga Tbk
had -0.1882% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining 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
. Jasa Marga Tbk exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Jasa Marga Market Risk Adjusted Performance
of 5.28 and Risk Adjusted Performance of 0.55 to validate risk estimate we provide. Macroaxis gives Jasa Marga performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.0924 which attests that as returns on market increase, Jasa Marga returns are expected to increase less than the market. However during bear market, the loss on holding Jasa Marga will be expected to be smaller as well.. Even though it is essential to pay attention to Jasa Marga Tbk current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis philosophy towards determining 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. Jasa Marga Tbk exposes twenty-one different technical indicators which can help you to evaluate its performance. Jasa Marga Tbk has expected return of -0.2808%. Please be advised to check out Jasa Marga Information Ratio, Treynor Ratio, Value At Risk, as well as the relationship between Jensen Alpha and Maximum Drawdown to decide if Jasa Marga Tbk past performance will be repeated at some point in the near future.
|15 days auto-correlation||(0.74) |
Almost perfect reverse predictability
Jasa Marga Tbk has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Jasa Marga time series from January 20, 2018 to February 4, 2018 and February 4, 2018 to February 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 Jasa Marga Tbk price movement. The serial correlation of -0.74 indicates that around 74.0% of current Jasa Marga price fluctuation can be explain by its past prices. Given that Jasa Marga Tbk has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Jasa Marga for similar time interval.
|Correlation Coefficient|| -0.74|
|Spearman Rank Test|| -0.42|
|Price Variance|| 3070.99|
|Lagged Price Variance|| 29182.1|
Jasa Marga Lagged Returns