Banpu Public (Thailand) Market Value
| BANPU Stock | THB 5.70 0.10 1.72% |
| Symbol | Banpu |
Banpu Public '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 Banpu Public'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 Banpu Public.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in Banpu Public on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding Banpu Public or generate 0.0% return on investment in Banpu Public over 480 days. Banpu Public is related to or competes with PTT Public, PTT Exploration, Bangkok Bank, Thai Oil, and Kasikornbank Public. Banpu Public Company Limited engages in the coal mining and power businesses More
Banpu Public 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 Banpu Public'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 Banpu Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.96 | |||
| Information Ratio | 0.0052 | |||
| Maximum Drawdown | 22.35 | |||
| Value At Risk | (2.88) | |||
| Potential Upside | 4.0 |
Banpu Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Banpu Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Banpu Public's standard deviation. In reality, there are many statistical measures that can use Banpu Public historical prices to predict the future Banpu Public's volatility.| Risk Adjusted Performance | 0.0424 | |||
| Jensen Alpha | 0.1117 | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | 0.0051 | |||
| Treynor Ratio | 0.8335 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Banpu Public'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.
Banpu Public Backtested Returns
Banpu Public secures Sharpe Ratio (or Efficiency) of -0.0213, which signifies that the company had a -0.0213% return per unit of risk over the last 3 months. Banpu Public exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Banpu Public's Mean Deviation of 1.91, risk adjusted performance of 0.0424, and Downside Deviation of 2.96 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.16, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Banpu Public's returns are expected to increase less than the market. However, during the bear market, the loss of holding Banpu Public is expected to be smaller as well. At this point, Banpu Public has a negative expected return of -0.0596%. Please make sure to confirm Banpu Public's maximum drawdown, as well as the relationship between the skewness and day typical price , to decide if Banpu Public performance from the past will be repeated at some point in the near future.
Auto-correlation | -0.62 |
Very good reverse predictability
Banpu Public has very good reverse predictability. Overlapping area represents the amount of predictability between Banpu Public time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 Banpu Public price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Banpu Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.5 |
Banpu Public lagged returns against current returns
Autocorrelation, which is Banpu Public 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 Banpu Public's stock expected returns. We can calculate the autocorrelation of Banpu Public returns to help us make a trade decision. For example, suppose you find that Banpu Public 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 |
Banpu Public 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 Banpu Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Banpu Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Banpu Public stock over time.
Current vs Lagged Prices |
| Timeline |
Banpu Public Lagged Returns
When evaluating Banpu Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Banpu Public stock have on its future price. Banpu Public 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, Banpu Public autocorrelation shows the relationship between Banpu Public stock current value and its past values and can show if there is a momentum factor associated with investing in Banpu Public.
Regressed Prices |
| Timeline |
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Banpu Public financial ratios help investors to determine whether Banpu 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 Banpu with respect to the benefits of owning Banpu Public security.