Bumi Resources (Indonesia) Market Value
| BUMI Stock | IDR 104.00 19.00 22.35% |
| Symbol | Bumi |
Bumi Resources '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 Bumi Resources' 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 Bumi Resources.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Bumi Resources on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Bumi Resources Tbk or generate 0.0% return on investment in Bumi Resources over 30 days. Bumi Resources is related to or competes with Tanah Laut, Indorama Synthetics, Fortune Mate, and Rig Tenders. PT Bumi Resources Tbk, through its subsidiaries, engages in the mining activities in Indonesia More
Bumi Resources 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 Bumi Resources' 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 Bumi Resources Tbk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.42 | |||
| Information Ratio | 0.0116 | |||
| Maximum Drawdown | 9.47 | |||
| Value At Risk | (3.33) | |||
| Potential Upside | 3.75 |
Bumi Resources Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bumi Resources' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bumi Resources' standard deviation. In reality, there are many statistical measures that can use Bumi Resources historical prices to predict the future Bumi Resources' volatility.| Risk Adjusted Performance | 0.0312 | |||
| Jensen Alpha | 0.1363 | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | 0.0167 | |||
| Treynor Ratio | (0.56) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bumi Resources' 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.
Bumi Resources Tbk Backtested Returns
Bumi Resources appears to be very steady, given 3 months investment horizon. Bumi Resources Tbk secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the company had a 0.1% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Bumi Resources Tbk, which you can use to evaluate the volatility of the firm. Please makes use of Bumi Resources' Risk Adjusted Performance of 0.0312, downside deviation of 2.42, and Mean Deviation of 1.96 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Bumi Resources holds a performance score of 7. The firm shows a Beta (market volatility) of -0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bumi Resources are expected to decrease at a much lower rate. During the bear market, Bumi Resources is likely to outperform the market. Please check Bumi Resources' jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to make a quick decision on whether Bumi Resources' price patterns will revert.
Auto-correlation | -0.19 |
Insignificant reverse predictability
Bumi Resources Tbk has insignificant reverse predictability. Overlapping area represents the amount of predictability between Bumi Resources time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 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 Bumi Resources Tbk price movement. The serial correlation of -0.19 indicates that over 19.0% of current Bumi Resources price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 51.67 |
Bumi Resources Tbk lagged returns against current returns
Autocorrelation, which is Bumi Resources 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 Bumi Resources' stock expected returns. We can calculate the autocorrelation of Bumi Resources returns to help us make a trade decision. For example, suppose you find that Bumi Resources 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 |
Bumi Resources 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 Bumi Resources stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bumi Resources stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bumi Resources stock over time.
Current vs Lagged Prices |
| Timeline |
Bumi Resources Lagged Returns
When evaluating Bumi Resources' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bumi Resources stock have on its future price. Bumi Resources 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, Bumi Resources autocorrelation shows the relationship between Bumi Resources stock current value and its past values and can show if there is a momentum factor associated with investing in Bumi Resources Tbk.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Bumi Resources in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Bumi Resources' short interest history, or implied volatility extrapolated from Bumi Resources options trading.
Pair Trading with Bumi Resources
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 Bumi Resources 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 Bumi Resources will appreciate offsetting losses from the drop in the long position's value.Moving together with Bumi Stock
| 0.67 | MDRN | Modern Internasional Tbk | PairCorr |
Moving against Bumi Stock
| 0.48 | MCOL | Prima Andalan Mandiri | PairCorr |
The ability to find closely correlated positions to Bumi Resources could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bumi Resources 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 Bumi Resources - 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 Bumi Resources Tbk to buy it.
The correlation of Bumi Resources 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 Bumi Resources moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bumi Resources 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 Bumi Resources 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 Bumi Resources Correlation, Bumi Resources Volatility and Bumi Resources Alpha and Beta module to complement your research on Bumi Resources. You can also try the Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Complementary Tools for Bumi Stock analysis
When running Bumi Resources' price analysis, check to measure Bumi Resources' 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 Bumi Resources is operating at the current time. Most of Bumi Resources' value examination focuses on studying past and present price action to predict the probability of Bumi Resources' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Bumi Resources' price. Additionally, you may evaluate how the addition of Bumi Resources to your portfolios can decrease your overall portfolio volatility.
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Bumi Resources 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.