Britania PCL (Thailand) Market Value
| BRI Stock | 4.14 0.04 0.98% |
| Symbol | Britania |
Britania PCL '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 Britania PCL'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 Britania PCL.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Britania PCL on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Britania PCL or generate 0.0% return on investment in Britania PCL over 30 days.
Britania PCL 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 Britania PCL'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 Britania PCL upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 11.64 | |||
| Value At Risk | (2.94) | |||
| Potential Upside | 4.42 |
Britania PCL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Britania PCL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Britania PCL's standard deviation. In reality, there are many statistical measures that can use Britania PCL historical prices to predict the future Britania PCL's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.47) | |||
| Treynor Ratio | 6.77 |
Britania PCL Backtested Returns
Britania PCL secures Sharpe Ratio (or Efficiency) of -0.0373, which signifies that the company had a -0.0373% return per unit of risk over the last 3 months. Britania PCL exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Britania PCL's Standard Deviation of 2.22, mean deviation of 1.57, and Risk Adjusted Performance of (0.02) to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of -0.0141, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Britania PCL are expected to decrease at a much lower rate. During the bear market, Britania PCL is likely to outperform the market. At this point, Britania PCL has a negative expected return of -0.0833%. Please make sure to confirm Britania PCL's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Britania PCL performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.87 |
Very good predictability
Britania PCL has very good predictability. Overlapping area represents the amount of predictability between Britania PCL time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 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 Britania PCL price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current Britania PCL price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.87 | |
| Spearman Rank Test | 0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Britania PCL lagged returns against current returns
Autocorrelation, which is Britania PCL 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 Britania PCL's stock expected returns. We can calculate the autocorrelation of Britania PCL returns to help us make a trade decision. For example, suppose you find that Britania PCL 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 |
Britania PCL 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 Britania PCL stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Britania PCL stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Britania PCL stock over time.
Current vs Lagged Prices |
| Timeline |
Britania PCL Lagged Returns
When evaluating Britania PCL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Britania PCL stock have on its future price. Britania PCL 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, Britania PCL autocorrelation shows the relationship between Britania PCL stock current value and its past values and can show if there is a momentum factor associated with investing in Britania PCL.
Regressed Prices |
| Timeline |
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