Jasa Marga (Indonesia) Backtesting

Jasa Marga Tbk -- Indonesia Stock  

IDR 6,100  200  3.17%

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
Investment Horizon     30 Days    Login   to change
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Jasa Marga 'What if' Analysis

September 19, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 19, 2017
 0.00 
If you would invest  0.00  in Jasa Marga on September 19, 2017 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 is related to or competes with Garuda Indonesia, and Frontier Communications. Jasa Marga is entity of Indonesia. It is traded as Stock on JKT exchange.

Jasa Marga Upside/Downside Indicators

  

Jasa Marga Market Premium Indicators

Jasa Marga Tbk lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Jasa Marga regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Jasa Marga Tbk Backtested Returns

We consider Jasa Marga not too risky. Jasa Marga Tbk holds Efficiency (Sharpe) Ratio of 0.0893 which attests that Jasa Marga Tbk had 0.0893% 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 Jasa Marga Tbk which you can use to evaluate future volatility of the corporation. Please check out Jasa Marga Downside Deviation of 2.08, Market Risk Adjusted Performance of 0.0546 and Risk Adjusted Performance of 0.0294 to validate if risk estimate we provide are consistent with the epected return of 0.1381%. Jasa Marga has performance score of 6 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 3.0116 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Jasa Marga will likely underperform.. Although it is extremely important to respect Jasa Marga Tbk 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 Jasa Marga Tbk technical indicators you can presently evaluate if the expected return of 0.1381% will be sustainable into the future. Jasa Marga Tbk right now retains a risk of 1.5461%. Please 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 will be following its current trending patternss.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 

Very good reverse predictability

Jasa Marga Tbk has very good reverse predictability. Overlapping area represents the amount of predictability between Jasa Marga time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 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 Jasa Marga Tbk price movement. The serial correlation of -0.61 indicates that roughly 61.0% 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 -0.61
Spearman Rank Test -0.45
Price Variance 23524.31
Lagged Price Variance 12378.47

Jasa Marga Lagged Returns

 Regressed Prices 
      Timeline 

Jasa Marga Performance vs Jakarta Comp

The median price of Jasa Marga for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 5850.0 with a coefficient of variation of 3.44. The daily time series for the period is distributed with a sample standard deviation of 201.28, arithmetic mean of 5854.55, and mean deviation of 160.33. The Stock did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline