Acset Indonusa (Indonesia) Market Value
| ACST Stock | IDR 115.00 2.00 1.71% |
| Symbol | Acset |
Acset Indonusa 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Acset Indonusa's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Acset Indonusa.
| 02/13/2024 |
| 05/13/2024 |
If you would invest 0.00 in Acset Indonusa on February 13, 2024 and sell it all today you would earn a total of 0.00 from holding Acset Indonusa Tbk or generate 0.0% return on investment in Acset Indonusa over 90 days. Acset Indonusa is related to or competes with Bekasi Fajar, Nusa Raya, Wijaya Karya, Agung Podomoro, and Semen Baturaja. More
Acset Indonusa Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Acset Indonusa's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Acset Indonusa Tbk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 17.97 | |||
| Value At Risk | (3.50) | |||
| Potential Upside | 3.62 |
Acset Indonusa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Acset Indonusa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Acset Indonusa's standard deviation. In reality, there are many statistical measures that can use Acset Indonusa historical prices to predict the future Acset Indonusa's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | 2.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Acset Indonusa's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Acset Indonusa Tbk Backtested Returns
We consider Acset Indonusa very steady. Acset Indonusa Tbk secures Sharpe Ratio (or Efficiency) of 0.0037, which signifies that the company had a 0.0037% return per unit of risk over the last 12 months. We have found twenty-four technical indicators for Acset Indonusa Tbk, which you can use to evaluate the volatility of the firm. Please confirm Acset Indonusa's Risk Adjusted Performance of (0.04), mean deviation of 1.54, and Standard Deviation of 2.53 to double-check if the risk estimate we provide is consistent with the expected return of 0.0134%. The firm shows a Beta (market volatility) of -0.091, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Acset Indonusa are expected to decrease at a much lower rate. During the bear market, Acset Indonusa is likely to outperform the market. Acset Indonusa Tbk right now shows a risk of 3.65%. Please confirm Acset Indonusa Tbk treynor ratio, value at risk, skewness, as well as the relationship between the maximum drawdown and potential upside , to decide if Acset Indonusa Tbk will be following its price patterns.
Auto-correlation | 0.17 |
Very weak predictability
Acset Indonusa Tbk has very weak predictability. Overlapping area represents the amount of predictability between Acset Indonusa time series from 13th of February 2024 to 29th of March 2024 and 29th of March 2024 to 13th of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Acset Indonusa Tbk price movement. The serial correlation of 0.17 indicates that over 17.0% of current Acset Indonusa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.39 | |
| Residual Average | 0.0 | |
| Price Variance | 43.04 |
Acset Indonusa Tbk lagged returns against current returns
Autocorrelation, which is Acset Indonusa stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Acset Indonusa's stock expected returns. We can calculate the autocorrelation of Acset Indonusa returns to help us make a trade decision. For example, suppose you find that Acset Indonusa has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Acset Indonusa regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Acset Indonusa stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Acset Indonusa stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Acset Indonusa stock over time.
Current vs Lagged Prices |
| Timeline |
Acset Indonusa Lagged Returns
When evaluating Acset Indonusa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Acset Indonusa stock have on its future price. Acset Indonusa autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Acset Indonusa autocorrelation shows the relationship between Acset Indonusa stock current value and its past values and can show if there is a momentum factor associated with investing in Acset Indonusa Tbk.
Regressed Prices |
| Timeline |
Pair Trading with Acset Indonusa
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Acset Indonusa position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Acset Indonusa will appreciate offsetting losses from the drop in the long position's value.Moving together with Acset Stock
| 0.83 | INDF | Indofood Sukses Makmur | PairCorr |
| 0.73 | BMRI | Bank Mandiri Persero | PairCorr |
| 0.82 | PBRX | Pan Brothers Tbk | PairCorr |
Moving against Acset Stock
| 0.51 | ASII | Astra International Tbk | PairCorr |
The ability to find closely correlated positions to Acset Indonusa could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Acset Indonusa when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Acset Indonusa - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Acset Indonusa Tbk to buy it.
The correlation of Acset Indonusa is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Acset Indonusa moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Acset Indonusa Tbk moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Acset Indonusa can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Acset Indonusa Correlation, Acset Indonusa Volatility and Acset Indonusa Alpha and Beta module to complement your research on Acset Indonusa. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Complementary Tools for Acset Stock analysis
When running Acset Indonusa's price analysis, check to measure Acset Indonusa's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Acset Indonusa is operating at the current time. Most of Acset Indonusa's value examination focuses on studying past and present price action to predict the probability of Acset Indonusa's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Acset Indonusa's price. Additionally, you may evaluate how the addition of Acset Indonusa to your portfolios can decrease your overall portfolio volatility.
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Acset Indonusa technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.