Jasa Marga Tbk Backtested Returns
We consider Jasa Marga not too risky. Jasa Marga Tbk
holds Efficiency (Sharpe) Ratio of 0.0087 which attests that Jasa Marga Tbk
had 0.0087% 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 Market Risk Adjusted Performance
of (0.24) and Risk Adjusted Performance of (0.044235) to validate if risk estimate we provide are consistent with the epected return of 0.0157%. Jasa Marga has performance score of 0 on a scale of 0 to 100. The company retains Market Volatility (i.e. Beta) of 0.7951 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.. 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 0.0157% will be sustainable into the future. Jasa Marga Tbk right now retains a risk of 1.8153%. 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 patterns.
|15 days auto-correlation||(0.67) |
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 November 11, 2017 to November 26, 2017 and November 26, 2017 to December 11, 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 -0.67 indicates that around 67.0% 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|| -0.67|
|Spearman Rank Test|| -0.02|
|Price Variance|| 5382.23|
|Lagged Price Variance|| 10774.79|
Jasa Marga Lagged Returns