Bank of Ayudhya (Thailand) Market Value
| BAY Stock | THB 25.00 0.10 0.40% |
| Symbol | Bank |
Bank of Ayudhya '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 Bank of Ayudhya'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 Bank of Ayudhya.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Bank of Ayudhya on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Bank of Ayudhya or generate 0.0% return on investment in Bank of Ayudhya over 30 days. Bank of Ayudhya is related to or competes with Bangkok Bank, Krung Thai, SCB X, Kasikornbank Public, and Land. Bank of Ayudhya Public Company Limited, through its subsidiaries, provides a range of banking services to individuals, c... More
Bank of Ayudhya 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 Bank of Ayudhya'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 Bank of Ayudhya upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.3 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 9.66 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 1.9 |
Bank of Ayudhya Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bank of Ayudhya's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bank of Ayudhya's standard deviation. In reality, there are many statistical measures that can use Bank of Ayudhya historical prices to predict the future Bank of Ayudhya's volatility.| Risk Adjusted Performance | 0.0244 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.23) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.1125 |
Bank of Ayudhya Backtested Returns
As of now, Bank Stock is very steady. Bank of Ayudhya secures Sharpe Ratio (or Efficiency) of 0.0342, which signifies that the company had a 0.0342% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Bank of Ayudhya, which you can use to evaluate the volatility of the firm. Please confirm Bank of Ayudhya's Downside Deviation of 1.3, mean deviation of 1.0, and Risk Adjusted Performance of 0.0244 to double-check if the risk estimate we provide is consistent with the expected return of 0.0537%. Bank of Ayudhya has a performance score of 2 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.26, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bank of Ayudhya's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bank of Ayudhya is expected to be smaller as well. Bank of Ayudhya right now shows a risk of 1.57%. Please confirm Bank of Ayudhya standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Bank of Ayudhya will be following its price patterns.
Auto-correlation | -0.13 |
Insignificant reverse predictability
Bank of Ayudhya has insignificant reverse predictability. Overlapping area represents the amount of predictability between Bank of Ayudhya time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 Bank of Ayudhya price movement. The serial correlation of -0.13 indicates that less than 13.0% of current Bank of Ayudhya price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.13 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Bank of Ayudhya lagged returns against current returns
Autocorrelation, which is Bank of Ayudhya 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 Bank of Ayudhya's stock expected returns. We can calculate the autocorrelation of Bank of Ayudhya returns to help us make a trade decision. For example, suppose you find that Bank of Ayudhya 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 |
Bank of Ayudhya 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 Bank of Ayudhya stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bank of Ayudhya stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bank of Ayudhya stock over time.
Current vs Lagged Prices |
| Timeline |
Bank of Ayudhya Lagged Returns
When evaluating Bank of Ayudhya's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bank of Ayudhya stock have on its future price. Bank of Ayudhya 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, Bank of Ayudhya autocorrelation shows the relationship between Bank of Ayudhya stock current value and its past values and can show if there is a momentum factor associated with investing in Bank of Ayudhya.
Regressed Prices |
| Timeline |
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Bank of Ayudhya financial ratios help investors to determine whether Bank 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 Bank with respect to the benefits of owning Bank of Ayudhya security.