Sammakorn Public (Thailand) Market Value
| SAMCO Stock | THB 0.90 0.02 2.17% |
| Symbol | Sammakorn |
Sammakorn Public '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 Sammakorn Public'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 Sammakorn Public.
| 01/02/2023 |
| 12/22/2024 |
If you would invest 0.00 in Sammakorn Public on January 2, 2023 and sell it all today you would earn a total of 0.00 from holding Sammakorn Public or generate 0.0% return on investment in Sammakorn Public over 720 days. Sammakorn Public is related to or competes with Bangkok Bank, Siam Cement, PTT Public, SCB X, and Krung Thai. Sammakorn Public Company Limited, together with its subsidiaries, engages in the real estate development activities in T... More
Sammakorn Public 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 Sammakorn Public'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 Sammakorn Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 13.9 | |||
| Value At Risk | (2.80) | |||
| Potential Upside | 2.17 |
Sammakorn Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sammakorn Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sammakorn Public's standard deviation. In reality, there are many statistical measures that can use Sammakorn Public historical prices to predict the future Sammakorn Public's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | (0.37) |
Sammakorn Public Backtested Returns
Sammakorn Public owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.15, which indicates the firm had a -0.15% return per unit of risk over the last 3 months. Sammakorn Public exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sammakorn Public's Variance of 4.36, risk adjusted performance of (0.03), and Coefficient Of Variation of (1,933) to confirm the risk estimate we provide. The entity has a beta of 0.32, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sammakorn Public's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sammakorn Public is expected to be smaller as well. At this point, Sammakorn Public has a negative expected return of -0.26%. Please make sure to validate Sammakorn Public's jensen alpha, skewness, as well as the relationship between the Skewness and day median price , to decide if Sammakorn Public performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.58 |
Modest predictability
Sammakorn Public has modest predictability. Overlapping area represents the amount of predictability between Sammakorn Public time series from 2nd of January 2023 to 28th of December 2023 and 28th of December 2023 to 22nd 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 Sammakorn Public price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Sammakorn Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Sammakorn Public lagged returns against current returns
Autocorrelation, which is Sammakorn Public 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 Sammakorn Public's stock expected returns. We can calculate the autocorrelation of Sammakorn Public returns to help us make a trade decision. For example, suppose you find that Sammakorn Public 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 |
Sammakorn Public 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 Sammakorn Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sammakorn Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sammakorn Public stock over time.
Current vs Lagged Prices |
| Timeline |
Sammakorn Public Lagged Returns
When evaluating Sammakorn Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sammakorn Public stock have on its future price. Sammakorn Public 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, Sammakorn Public autocorrelation shows the relationship between Sammakorn Public stock current value and its past values and can show if there is a momentum factor associated with investing in Sammakorn Public.
Regressed Prices |
| Timeline |
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Sammakorn Public financial ratios help investors to determine whether Sammakorn 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 Sammakorn with respect to the benefits of owning Sammakorn Public security.