Pt Jasa (Indonesia) Backtesting

JSMR -- Indonesia Stock  

IDR 4,340  10.00  0.23%

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

Pt Jasa 'What if' Analysis

August 26, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 25, 2018
0.00
If you would invest  0.00  in Pt Jasa on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding Pt Jasa Marga Tbk or generate 0.0% return on investment in Pt Jasa over 30 days. Pt Jasa is related to or competes with PT Garuda.

Pt Jasa Upside/Downside Indicators

Information Ratio0.17
Maximum Drawdown9.47
Value At Risk3.33
Potential Upside2.3
  

Pt Jasa Market Premium Indicators

Risk Adjusted Performance0.040699
Jensen Alpha0.36
Total Risk Alpha0.94
Treynor Ratio0.30

Pt Jasa Marga Backtested Returns

Macroaxis considers Pt Jasa to be not too risky. Pt Jasa Marga retains Efficiency (Sharpe Ratio) of -0.1511 which implies Pt Jasa Marga had -0.1511% of return per unit of price deviation over the last 1 month. Macroaxis philosophy towards forecasting 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. Pt Jasa exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check Pt Jasa Marga Tbk Standard Deviation of 2.27 and Market Risk Adjusted Performance of 0.29 to confirm risk estimate we provide. Macroaxis gives Pt Jasa performance score of 0 on a scale of 0 to 100. The organization owns Beta (Systematic Risk) of 0.8028 which implies as returns on market increase, Pt Jasa returns are expected to increase less than the market. However during bear market, the loss on holding Pt Jasa will be expected to be smaller as well.. Even though it is essential to pay attention to Pt Jasa Marga existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis philosophy towards forecasting 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. Pt Jasa exposes twenty-one different technical indicators which can help you to evaluate its performance. Pt Jasa Marga has expected return of -0.3668%. Please be advised to check Pt Jasa Marga Tbk Mean Deviation, Downside Deviation, Standard Deviation, as well as the relationship between Semi Deviation and Coefficient Of Variation to decide if Pt Jasa Marga past performance will be repeated at future time.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.47 

Average predictability

Pt Jasa Marga Tbk has average predictability. Overlapping area represents the amount of predictability between Pt Jasa time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 25, 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 Jasa Marga price movement. The serial correlation of 0.47 indicates that about 47.0% of current Pt Jasa price fluctuation can be explain by its past prices.
Correlation Coefficient0.47
Spearman Rank Test0.53
Residual Average0.0
Price Variance5365.43

Pt Jasa Marga lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Pt Jasa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Pt Jasa Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - JSMR

Pt Jasa Marga Investor Sentiment

Most of Macroaxis users are currently bullish on Pt Jasa Marga Tbk. What is your perspective on investing in Pt Jasa Marga Tbk? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
Skip

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
Please also check Pt Jasa Hype Analysis, Pt Jasa Correlation, Pt Jasa Valuation, Pt Jasa Volatility as well as analyze Pt Jasa Alpha and Beta and Pt Jasa Performance. Please also try Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Search macroaxis.com