Siam Commercial (Thailand) Market Value
| SCB-R Stock | THB 114.50 0.60 0.52% |
| Symbol | Siam |
Siam Commercial '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 Siam Commercial'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 Siam Commercial.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Siam Commercial on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding The Siam Commercial or generate 0.0% return on investment in Siam Commercial over 30 days. Siam Commercial is related to or competes with PTT Public, CP ALL, SCB X, and Airports. The Siam Commercial Bank Public Company Limited offer various financial solutions and services. More
Siam Commercial 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 Siam Commercial'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 The Siam Commercial upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 5.89 | |||
| Potential Upside | 0.1653 |
Siam Commercial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siam Commercial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siam Commercial's standard deviation. In reality, there are many statistical measures that can use Siam Commercial historical prices to predict the future Siam Commercial's volatility.| Risk Adjusted Performance | 0.1145 | |||
| Jensen Alpha | 0.1077 | |||
| Total Risk Alpha | (0.02) | |||
| Treynor Ratio | (0.95) |
Siam Commercial Backtested Returns
Siam Commercial is out of control given 3 months investment horizon. Siam Commercial owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the firm had a 0.17% return per unit of risk over the last 3 months. We have analyzed twenty-two different technical indicators, which can help you to evaluate if expected returns of 30.27% are justified by taking the suggested risk. Use Siam Commercial Coefficient Of Variation of 661.54, variance of 0.4826, and Risk Adjusted Performance of 0.1145 to evaluate company specific risk that cannot be diversified away. Siam Commercial holds a performance score of 13 on a scale of zero to a hundred. The entity has a beta of -0.0998, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Siam Commercial are expected to decrease at a much lower rate. During the bear market, Siam Commercial is likely to outperform the market. Use Siam Commercial jensen alpha, accumulation distribution, price action indicator, as well as the relationship between the maximum drawdown and day median price , to analyze future returns on Siam Commercial.
Auto-correlation | 0.00 |
No correlation between past and present
The Siam Commercial has no correlation between past and present. Overlapping area represents the amount of predictability between Siam Commercial time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 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 Siam Commercial price movement. The serial correlation of 0.0 indicates that just 0.0% of current Siam Commercial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 2.45 |
Siam Commercial lagged returns against current returns
Autocorrelation, which is Siam Commercial 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 Siam Commercial's stock expected returns. We can calculate the autocorrelation of Siam Commercial returns to help us make a trade decision. For example, suppose you find that Siam Commercial 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 |
Siam Commercial 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 Siam Commercial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siam Commercial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siam Commercial stock over time.
Current vs Lagged Prices |
| Timeline |
Siam Commercial Lagged Returns
When evaluating Siam Commercial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siam Commercial stock have on its future price. Siam Commercial 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, Siam Commercial autocorrelation shows the relationship between Siam Commercial stock current value and its past values and can show if there is a momentum factor associated with investing in The Siam Commercial.
Regressed Prices |
| Timeline |
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Siam Commercial financial ratios help investors to determine whether Siam 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 Siam with respect to the benefits of owning Siam Commercial security.