Charoen Pokphand (Thailand) Market Value
| CPF Stock | THB 23.90 0.20 0.84% |
| Symbol | Charoen |
Charoen Pokphand '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 Charoen Pokphand'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 Charoen Pokphand.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in Charoen Pokphand on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding Charoen Pokphand Foods or generate 0.0% return on investment in Charoen Pokphand over 360 days. Charoen Pokphand is related to or competes with Airports, PTT Public, Bangkok Dusit, Kasikornbank Public, and . Charoen Pokphand Foods Public Company Limited, together with its subsidiaries, engages in the agro-industrial and integr... More
Charoen Pokphand 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 Charoen Pokphand'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 Charoen Pokphand Foods upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 6.07 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 2.04 |
Charoen Pokphand Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Charoen Pokphand's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Charoen Pokphand's standard deviation. In reality, there are many statistical measures that can use Charoen Pokphand historical prices to predict the future Charoen Pokphand's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | 0.3275 |
Charoen Pokphand Foods Backtested Returns
Charoen Pokphand Foods secures Sharpe Ratio (or Efficiency) of -0.0517, which signifies that the company had a -0.0517% return per unit of standard deviation over the last 3 months. Charoen Pokphand Foods exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Charoen Pokphand's mean deviation of 0.9543, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Charoen Pokphand are expected to decrease at a much lower rate. During the bear market, Charoen Pokphand is likely to outperform the market. At this point, Charoen Pokphand Foods has a negative expected return of -0.0639%. Please make sure to confirm Charoen Pokphand's coefficient of variation, jensen alpha, and the relationship between the mean deviation and standard deviation , to decide if Charoen Pokphand Foods performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.17 |
Very weak predictability
Charoen Pokphand Foods has very weak predictability. Overlapping area represents the amount of predictability between Charoen Pokphand time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 to 2nd of December 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 Charoen Pokphand Foods price movement. The serial correlation of 0.17 indicates that over 17.0% of current Charoen Pokphand price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 1.16 |
Charoen Pokphand Foods lagged returns against current returns
Autocorrelation, which is Charoen Pokphand 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 Charoen Pokphand's stock expected returns. We can calculate the autocorrelation of Charoen Pokphand returns to help us make a trade decision. For example, suppose you find that Charoen Pokphand 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 |
Charoen Pokphand 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 Charoen Pokphand stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Charoen Pokphand stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Charoen Pokphand stock over time.
Current vs Lagged Prices |
| Timeline |
Charoen Pokphand Lagged Returns
When evaluating Charoen Pokphand's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Charoen Pokphand stock have on its future price. Charoen Pokphand 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, Charoen Pokphand autocorrelation shows the relationship between Charoen Pokphand stock current value and its past values and can show if there is a momentum factor associated with investing in Charoen Pokphand Foods.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectOther Information on Investing in Charoen Stock
Charoen Pokphand financial ratios help investors to determine whether Charoen Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Charoen with respect to the benefits of owning Charoen Pokphand security.