TMBThanachart Bank (Thailand) Market Value
| TTB Stock | 1.66 0.02 1.19% |
| Symbol | TMBThanachart |
TMBThanachart Bank '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 TMBThanachart Bank'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 TMBThanachart Bank.
| 05/20/2024 |
| 06/19/2024 |
If you would invest 0.00 in TMBThanachart Bank on May 20, 2024 and sell it all today you would earn a total of 0.00 from holding TMBThanachart Bank Public or generate 0.0% return on investment in TMBThanachart Bank over 30 days. TMBThanachart Bank is related to or competes with PTT Public, Siam Commercial, CP ALL, SCB X, and Airports. More
TMBThanachart Bank 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 TMBThanachart Bank'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 TMBThanachart Bank Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 5.69 | |||
| Value At Risk | (1.69) | |||
| Potential Upside | 1.73 |
TMBThanachart Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TMBThanachart Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TMBThanachart Bank's standard deviation. In reality, there are many statistical measures that can use TMBThanachart Bank historical prices to predict the future TMBThanachart Bank's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.12) | |||
| Treynor Ratio | 0.4189 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of TMBThanachart Bank'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.
TMBThanachart Bank Public Backtested Returns
TMBThanachart Bank Public retains Efficiency (Sharpe Ratio) of -0.14, which indicates the firm had a -0.14% return per unit of volatility over the last 3 months. TMBThanachart Bank exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate TMBThanachart Bank's risk adjusted performance of (0.06), and Standard Deviation of 1.09 to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.28, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning TMBThanachart Bank are expected to decrease at a much lower rate. During the bear market, TMBThanachart Bank is likely to outperform the market. At this point, TMBThanachart Bank Public has a negative expected return of -0.15%. Please make sure to validate TMBThanachart Bank's coefficient of variation, jensen alpha, treynor ratio, as well as the relationship between the standard deviation and total risk alpha , to decide if TMBThanachart Bank Public performance from the past will be repeated at future time.
Auto-correlation | -0.06 |
Very weak reverse predictability
TMBThanachart Bank Public has very weak reverse predictability. Overlapping area represents the amount of predictability between TMBThanachart Bank time series from 20th of May 2024 to 4th of June 2024 and 4th of June 2024 to 19th of June 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 TMBThanachart Bank Public price movement. The serial correlation of -0.06 indicates that barely 6.0% of current TMBThanachart Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | -0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
TMBThanachart Bank Public lagged returns against current returns
Autocorrelation, which is TMBThanachart Bank 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 TMBThanachart Bank's stock expected returns. We can calculate the autocorrelation of TMBThanachart Bank returns to help us make a trade decision. For example, suppose you find that TMBThanachart Bank 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 |
TMBThanachart Bank 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 TMBThanachart Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TMBThanachart Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TMBThanachart Bank stock over time.
Current vs Lagged Prices |
| Timeline |
TMBThanachart Bank Lagged Returns
When evaluating TMBThanachart Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TMBThanachart Bank stock have on its future price. TMBThanachart Bank 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, TMBThanachart Bank autocorrelation shows the relationship between TMBThanachart Bank stock current value and its past values and can show if there is a momentum factor associated with investing in TMBThanachart Bank Public.
Regressed Prices |
| Timeline |
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Other Information on Investing in TMBThanachart Stock
TMBThanachart Bank financial ratios help investors to determine whether TMBThanachart 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 TMBThanachart with respect to the benefits of owning TMBThanachart Bank security.