Thai Credit (Thailand) Market Value
| CREDIT Stock | 18.10 0.80 4.23% |
| Symbol | Thai |
Thai Credit '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 Thai Credit'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 Thai Credit.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Thai Credit on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Thai Credit Pcl or generate 0.0% return on investment in Thai Credit over 30 days.
Thai Credit 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 Thai Credit'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 Thai Credit Pcl upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.31 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 23.28 | |||
| Value At Risk | (3.45) | |||
| Potential Upside | 4.5 |
Thai Credit Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thai Credit's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thai Credit's standard deviation. In reality, there are many statistical measures that can use Thai Credit historical prices to predict the future Thai Credit's volatility.| Risk Adjusted Performance | 0.0208 | |||
| Jensen Alpha | 0.0943 | |||
| Total Risk Alpha | (0.36) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.10) |
Thai Credit Pcl Backtested Returns
Thai Credit Pcl owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0434, which indicates the firm had a -0.0434% return per unit of risk over the last 3 months. Thai Credit Pcl exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Thai Credit's Semi Deviation of 1.98, coefficient of variation of 5570.57, and Risk Adjusted Performance of 0.0208 to confirm the risk estimate we provide. The entity has a beta of -0.49, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Thai Credit are expected to decrease at a much lower rate. During the bear market, Thai Credit is likely to outperform the market. At this point, Thai Credit Pcl has a negative expected return of -0.14%. Please make sure to validate Thai Credit's sortino ratio, semi variance, and the relationship between the standard deviation and value at risk , to decide if Thai Credit Pcl performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.86 |
Very good predictability
Thai Credit Pcl has very good predictability. Overlapping area represents the amount of predictability between Thai Credit time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Thai Credit Pcl price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Thai Credit price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.41 |
Thai Credit Pcl lagged returns against current returns
Autocorrelation, which is Thai Credit 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 Thai Credit's stock expected returns. We can calculate the autocorrelation of Thai Credit returns to help us make a trade decision. For example, suppose you find that Thai Credit 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 |
Thai Credit 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 Thai Credit stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thai Credit stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Thai Credit stock over time.
Current vs Lagged Prices |
| Timeline |
Thai Credit Lagged Returns
When evaluating Thai Credit's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thai Credit stock have on its future price. Thai Credit 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, Thai Credit autocorrelation shows the relationship between Thai Credit stock current value and its past values and can show if there is a momentum factor associated with investing in Thai Credit Pcl.
Regressed Prices |
| Timeline |
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