ThaiDEX SET (Thailand) Market Value
| 1DIV Etf | THB 10.35 0.17 1.62% |
| Symbol | ThaiDEX |
ThaiDEX SET '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 ThaiDEX SET's etf 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 ThaiDEX SET.
| 11/21/2024 |
| 12/21/2024 |
If you would invest 0.00 in ThaiDEX SET on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding ThaiDEX SET High or generate 0.0% return on investment in ThaiDEX SET over 30 days. ThaiDEX SET is related to or competes with ThaiDex SET50, BCAP MSCI, BCAP SET100, KTAM Gold, WISE KTAM, MTrack Energy. The fund replicates, net expenses, the SET High Dividend 30 index More
ThaiDEX SET 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 ThaiDEX SET's etf 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 ThaiDEX SET High upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 4.73 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 0.9268 |
ThaiDEX SET Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ThaiDEX SET's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ThaiDEX SET's standard deviation. In reality, there are many statistical measures that can use ThaiDEX SET historical prices to predict the future ThaiDEX SET's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.13) | |||
| Treynor Ratio | (0.74) |
ThaiDEX SET High Backtested Returns
ThaiDEX SET High owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.13, which indicates the etf had a -0.13% return per unit of risk over the last 3 months. ThaiDEX SET High exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate ThaiDEX SET's Variance of 0.6216, risk adjusted performance of (0.09), and Coefficient Of Variation of (845.10) to confirm the risk estimate we provide. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, ThaiDEX SET's returns are expected to increase less than the market. However, during the bear market, the loss of holding ThaiDEX SET is expected to be smaller as well.
Auto-correlation | -0.38 |
Poor reverse predictability
ThaiDEX SET High has poor reverse predictability. Overlapping area represents the amount of predictability between ThaiDEX SET time series from 21st of November 2024 to 6th of December 2024 and 6th of December 2024 to 21st 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 ThaiDEX SET High price movement. The serial correlation of -0.38 indicates that just about 38.0% of current ThaiDEX SET price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
ThaiDEX SET High lagged returns against current returns
Autocorrelation, which is ThaiDEX SET etf'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 ThaiDEX SET's etf expected returns. We can calculate the autocorrelation of ThaiDEX SET returns to help us make a trade decision. For example, suppose you find that ThaiDEX SET has exhibited high autocorrelation historically, and you observe that the etf 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 |
ThaiDEX SET 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 ThaiDEX SET etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ThaiDEX SET etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ThaiDEX SET etf over time.
Current vs Lagged Prices |
| Timeline |
ThaiDEX SET Lagged Returns
When evaluating ThaiDEX SET's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ThaiDEX SET etf have on its future price. ThaiDEX SET 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, ThaiDEX SET autocorrelation shows the relationship between ThaiDEX SET etf current value and its past values and can show if there is a momentum factor associated with investing in ThaiDEX SET High.
Regressed Prices |
| Timeline |
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ThaiDEX SET financial ratios help investors to determine whether ThaiDEX Etf 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 ThaiDEX with respect to the benefits of owning ThaiDEX SET security.