Siam Cement (Thailand) Market Value
| SCC-R Stock | THB 217.00 108.00 33.23% |
| 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 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 Cement.
| 08/09/2023 |
| 08/03/2024 |
If you would invest 0.00 in Siam Cement on August 9, 2023 and sell it all today you would earn a total of 0.00 from holding The Siam Cement or generate 0.0% return on investment in Siam Cement over 360 days. Siam Cement is related to or competes with PTT Public, Siam Commercial, Airports, CP ALL, and Advanced Info. The Siam Cement Public Company Limited, through its subsidiaries, engages in cement, building materials, chemicals, packaging, and investment businesses in Thailand, Vietnam, China, Indonesia, and internationally. 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 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 Cement upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) |
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 | (0.08) | |||
| Jensen Alpha | (0.63) | |||
| Total Risk Alpha | (0.91) | |||
| Treynor Ratio | (0.30) |
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 Backtested Returns
Siam Cement 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. The Siam Cement exposes nineteen different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siam Cement's Variance of 16.73, risk adjusted performance of (0.08), and Coefficient Of Variation of (812.40) to confirm the risk estimate we provide. The entity has a beta of 1.72, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Siam Cement will likely underperform. At this point, Siam Cement has a negative expected return of -0.55%. Please make sure to validate Siam Cement's kurtosis, and the relationship between the information ratio and rate of daily change , to decide if Siam Cement performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.02 |
Very weak reverse predictability
The Siam Cement has very weak reverse predictability. Overlapping area represents the amount of predictability between Siam Cement time series from 9th of August 2023 to 5th of February 2024 and 5th of February 2024 to 3rd of August 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 price movement. The serial correlation of -0.02 indicates that only 2.0% of current Siam Cement price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 97.75 |
Siam Cement lagged returns against current returns
Autocorrelation, which is Siam Cement 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 Cement's stock 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 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 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 stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siam Cement stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siam Cement stock 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 stock 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 stock current value and its past values and can show if there is a momentum factor associated with investing in The Siam Cement.
Regressed Prices |
| Timeline |
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Siam Cement 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 Cement security.