Siam Cement Pcl Stock Market Value
| SCVPY Stock | USD 8.85 0.00 0.00% |
| Symbol | Siam |
Siam Cement '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 Cement's pink sheet 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 Cement.
| 09/26/2023 |
| 04/23/2024 |
If you would invest 0.00 in Siam Cement on September 26, 2023 and sell it all today you would earn a total of 0.00 from holding Siam Cement PCL or generate 0.0% return on investment in Siam Cement over 210 days. Siam Cement is related to or competes with Air Liquide, Sherwin Williams, Ecolab, Air Products, Dupont De, and PPG Industries. The Siam Cement Public Company Limited, together with its subsidiaries, engages in the cement and building materials, ch... More
Siam Cement 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 Cement's pink sheet 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 Siam Cement PCL upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0768 | |||
| Maximum Drawdown | 16.21 |
Siam Cement Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siam Cement's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siam Cement's standard deviation. In reality, there are many statistical measures that can use Siam Cement historical prices to predict the future Siam Cement's volatility.| Risk Adjusted Performance | 0.0817 | |||
| Jensen Alpha | 0.2006 | |||
| Total Risk Alpha | (0.01) | |||
| Treynor Ratio | 0.9065 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siam Cement's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Siam Cement PCL Backtested Returns
We consider Siam Cement very steady. Siam Cement PCL owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have found sixteen technical indicators for Siam Cement PCL, which you can use to evaluate the volatility of the company. Please validate Siam Cement's Risk Adjusted Performance of 0.0817, variance of 3.49, and Coefficient Of Variation of 816.36 to confirm if the risk estimate we provide is consistent with the expected return of 0.0184%. Siam Cement has a performance score of 9 on a scale of 0 to 100. The entity has a beta of 0.24, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Siam Cement's returns are expected to increase less than the market. However, during the bear market, the loss of holding Siam Cement is expected to be smaller as well. Siam Cement PCL right now has a risk of 0.15%. Please validate Siam Cement mean deviation and maximum drawdown , to decide if Siam Cement will be following its existing price patterns.
Auto-correlation | 0.48 |
Average predictability
Siam Cement PCL has average predictability. Overlapping area represents the amount of predictability between Siam Cement time series from 26th of September 2023 to 9th of January 2024 and 9th of January 2024 to 23rd of April 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 Cement PCL price movement. The serial correlation of 0.48 indicates that about 48.0% of current Siam Cement price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Siam Cement PCL lagged returns against current returns
Autocorrelation, which is Siam Cement pink sheet'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 Cement's pink sheet expected returns. We can calculate the autocorrelation of Siam Cement returns to help us make a trade decision. For example, suppose you find that Siam Cement has exhibited high autocorrelation historically, and you observe that the pink sheet 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 Cement 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 Cement pink sheet is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siam Cement pink sheet is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siam Cement pink sheet over time.
Current vs Lagged Prices |
| Timeline |
Siam Cement Lagged Returns
When evaluating Siam Cement's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siam Cement pink sheet have on its future price. Siam Cement 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 Cement autocorrelation shows the relationship between Siam Cement pink sheet current value and its past values and can show if there is a momentum factor associated with investing in Siam Cement PCL.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Siam Cement in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Siam Cement's short interest history, or implied volatility extrapolated from Siam Cement options trading.
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Check out Siam Cement Correlation, Siam Cement Volatility and Siam Cement Alpha and Beta module to complement your research on Siam Cement. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Complementary Tools for Siam Pink Sheet analysis
When running Siam Cement's price analysis, check to measure Siam Cement's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Siam Cement is operating at the current time. Most of Siam Cement's value examination focuses on studying past and present price action to predict the probability of Siam Cement's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siam Cement's price. Additionally, you may evaluate how the addition of Siam Cement to your portfolios can decrease your overall portfolio volatility.
| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Transaction History View history of all your transactions and understand their impact on performance | |
| Portfolio Diagnostics Use generated alerts and portfolio events aggregator to diagnose current holdings | |
| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators |
Siam Cement technical pink sheet analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, pink sheet market cycles, or different charting patterns.