Bangkok Land (Thailand) Market Value
| BLAND Stock | THB 0.61 0.01 1.67% |
| Symbol | Bangkok |
Bangkok Land '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 Bangkok Land'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 Bangkok Land.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Bangkok Land on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Bangkok Land Public or generate 0.0% return on investment in Bangkok Land over 180 days. Bangkok Land is related to or competes with Land, AP Public, SCB X, and Krung Thai. Bangkok Land Public Company Limited, together with its subsidiaries, engages in the real estate development, exhibition ... More
Bangkok Land 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 Bangkok Land'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 Bangkok Land Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 6.35 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 3.03 |
Bangkok Land Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bangkok Land's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bangkok Land's standard deviation. In reality, there are many statistical measures that can use Bangkok Land historical prices to predict the future Bangkok Land's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.32) | |||
| Treynor Ratio | 3.11 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bangkok Land'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.
Bangkok Land Public Backtested Returns
Bangkok Land is out of control given 3 months investment horizon. Bangkok Land Public secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the company had a 0.13% return per unit of risk over the last 3 months. We have analyzed twenty-two different technical indicators, which can help you to evaluate if expected returns of 15.83% are justified by taking the suggested risk. Use Bangkok Land Mean Deviation of 0.8577, standard deviation of 1.34, and Risk Adjusted Performance of (0.05) to evaluate company specific risk that cannot be diversified away. Bangkok Land holds a performance score of 9 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of -0.0319, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Bangkok Land are expected to decrease at a much lower rate. During the bear market, Bangkok Land is likely to outperform the market. Use Bangkok Land treynor ratio and the relationship between the skewness and day typical price , to analyze future returns on Bangkok Land.
Auto-correlation | -0.03 |
Very weak reverse predictability
Bangkok Land Public has very weak reverse predictability. Overlapping area represents the amount of predictability between Bangkok Land time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Bangkok Land Public price movement. The serial correlation of -0.03 indicates that only 3.0% of current Bangkok Land price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Bangkok Land Public lagged returns against current returns
Autocorrelation, which is Bangkok Land 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 Bangkok Land's stock expected returns. We can calculate the autocorrelation of Bangkok Land returns to help us make a trade decision. For example, suppose you find that Bangkok Land 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 |
Bangkok Land 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 Bangkok Land stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bangkok Land stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bangkok Land stock over time.
Current vs Lagged Prices |
| Timeline |
Bangkok Land Lagged Returns
When evaluating Bangkok Land's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bangkok Land stock have on its future price. Bangkok Land 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, Bangkok Land autocorrelation shows the relationship between Bangkok Land stock current value and its past values and can show if there is a momentum factor associated with investing in Bangkok Land Public.
Regressed Prices |
| Timeline |
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Bangkok Land financial ratios help investors to determine whether Bangkok 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 Bangkok with respect to the benefits of owning Bangkok Land security.