Jasa Marga (Indonesia) Backtesting

Jasa Marga Tbk -- Indonesia Stock  

IDR 5,700  25.00  0.44%

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

Jasa Marga 'What if' Analysis

January 20, 2018
No Change 0.00  0.0%
In 31 days
February 19, 2018
If you would invest  0.00  in Jasa Marga on January 20, 2018 and sell it all today you would earn a total of 0.00 from holding Jasa Marga Tbk or generate 0.0% return on investment in Jasa Marga over 30 days.

Jasa Marga Upside/Downside Indicators


Jasa Marga Market Premium Indicators

Jasa Marga Tbk lagged returns against current returns

 Current and Lagged Values 

Jasa Marga regressed lagged prices vs. current prices

 Current vs Lagged Prices 

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

Jasa Marga Performance vs Jakarta Comp

The median price of Jasa Marga for the period between Sat, Jan 20, 2018 and Mon, Feb 19, 2018 is 5700.0 with a coefficient of variation of 4.32. The daily time series for the period is distributed with a sample standard deviation of 252.09, arithmetic mean of 5829.55, and mean deviation of 213.02. The Stock received some media coverage during the period.
Price Growth (%)  
Pencairan Pinjaman Proyek Kereta Cepat JKT-BDG Molor Lagi02/08/2018