Thanachart Capital (Thailand) Market Value
| TCAP Stock | THB 50.00 0.50 1.01% |
| Symbol | Thanachart |
Thanachart Capital '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 Thanachart Capital'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 Thanachart Capital.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Thanachart Capital on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Thanachart Capital Public or generate 0.0% return on investment in Thanachart Capital over 30 days. Thanachart Capital is related to or competes with Thai Steel, Tropical Canning, RB Food, Eureka Design, Chularat Hospital, and Qualitech Public. Thanachart Capital Public Company Limited, an investment holding company, provides various financial services in Thailan... More
Thanachart Capital 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 Thanachart Capital'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 Thanachart Capital Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.29 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 4.95 | |||
| Value At Risk | (1.91) | |||
| Potential Upside | 1.54 |
Thanachart Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thanachart Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thanachart Capital's standard deviation. In reality, there are many statistical measures that can use Thanachart Capital historical prices to predict the future Thanachart Capital's volatility.| Risk Adjusted Performance | 0.0218 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | 0.0831 |
Thanachart Capital Public Backtested Returns
Thanachart Capital Public owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0037, which indicates the firm had a -0.0037% return per unit of risk over the last 3 months. Thanachart Capital Public exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Thanachart Capital's Coefficient Of Variation of 4080.43, semi deviation of 0.9772, and Risk Adjusted Performance of 0.0218 to confirm the risk estimate we provide. The entity has a beta of 0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Thanachart Capital's returns are expected to increase less than the market. However, during the bear market, the loss of holding Thanachart Capital is expected to be smaller as well. At this point, Thanachart Capital Public has a negative expected return of -0.0039%. Please make sure to validate Thanachart Capital's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to decide if Thanachart Capital Public performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.08 |
Virtually no predictability
Thanachart Capital Public has virtually no predictability. Overlapping area represents the amount of predictability between Thanachart Capital time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Thanachart Capital Public price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Thanachart Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Thanachart Capital Public lagged returns against current returns
Autocorrelation, which is Thanachart Capital 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 Thanachart Capital's stock expected returns. We can calculate the autocorrelation of Thanachart Capital returns to help us make a trade decision. For example, suppose you find that Thanachart Capital 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 |
Thanachart Capital 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 Thanachart Capital stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thanachart Capital stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Thanachart Capital stock over time.
Current vs Lagged Prices |
| Timeline |
Thanachart Capital Lagged Returns
When evaluating Thanachart Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thanachart Capital stock have on its future price. Thanachart Capital 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, Thanachart Capital autocorrelation shows the relationship between Thanachart Capital stock current value and its past values and can show if there is a momentum factor associated with investing in Thanachart Capital Public.
Regressed Prices |
| Timeline |
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Thanachart Capital financial ratios help investors to determine whether Thanachart 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 Thanachart with respect to the benefits of owning Thanachart Capital security.