BCAP SET100 (Thailand) Market Value
| BSET100 Etf | THB 7.98 0.12 1.53% |
| Symbol | BCAP |
BCAP SET100 '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 BCAP SET100'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 BCAP SET100.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in BCAP SET100 on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding BCAP SET100 or generate 0.0% return on investment in BCAP SET100 over 90 days. BCAP SET100 is related to or competes with BCAP MSCI, WISE KTAM, and KTAM Gold. Invest in securities or derivatives that has assets referenced to securities to be particial of SET100 TRI Index with no... More
BCAP SET100 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 BCAP SET100'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 BCAP SET100 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 5.0 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 1.12 |
BCAP SET100 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BCAP SET100's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BCAP SET100's standard deviation. In reality, there are many statistical measures that can use BCAP SET100 historical prices to predict the future BCAP SET100's volatility.| Risk Adjusted Performance | (0.28) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.17) | |||
| Treynor Ratio | (0.84) |
BCAP SET100 Backtested Returns
BCAP SET100 retains Efficiency (Sharpe Ratio) of -0.28, which signifies that the etf had a -0.28 % return per unit of risk over the last 3 months. BCAP SET100 exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BCAP SET100's market risk adjusted performance of (0.83), and Variance of 1.04 to double-check the risk estimate we provide. The entity owns a Beta (Systematic Risk) of 0.41, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, BCAP SET100's returns are expected to increase less than the market. However, during the bear market, the loss of holding BCAP SET100 is expected to be smaller as well.
Auto-correlation | 0.86 |
Very good predictability
BCAP SET100 has very good predictability. Overlapping area represents the amount of predictability between BCAP SET100 time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BCAP SET100 price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current BCAP SET100 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
BCAP SET100 lagged returns against current returns
Autocorrelation, which is BCAP SET100 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 BCAP SET100's etf expected returns. We can calculate the autocorrelation of BCAP SET100 returns to help us make a trade decision. For example, suppose you find that BCAP SET100 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 |
BCAP SET100 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 BCAP SET100 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BCAP SET100 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BCAP SET100 etf over time.
Current vs Lagged Prices |
| Timeline |
BCAP SET100 Lagged Returns
When evaluating BCAP SET100's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BCAP SET100 etf have on its future price. BCAP SET100 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, BCAP SET100 autocorrelation shows the relationship between BCAP SET100 etf current value and its past values and can show if there is a momentum factor associated with investing in BCAP SET100.
Regressed Prices |
| Timeline |
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BCAP SET100 financial ratios help investors to determine whether BCAP 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 BCAP with respect to the benefits of owning BCAP SET100 security.