Indorama Ventures (Thailand) Market Value
| IVL Stock | THB 25.00 0.50 1.96% |
| Symbol | Indorama |
Indorama Ventures '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 Indorama Ventures' 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 Indorama Ventures.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Indorama Ventures on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Indorama Ventures PCL or generate 0.0% return on investment in Indorama Ventures over 30 days. Indorama Ventures is related to or competes with AAPICO Hitech, AP Public, Aikchol Hospital, Bank of Ayudhya, and Asia Fiber. Indorama Ventures Public Company Limited produces and distributes polyethylene terephthalate , purified terephthalic aci... More
Indorama Ventures 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 Indorama Ventures' 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 Indorama Ventures PCL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.15 | |||
| Information Ratio | 0.1136 | |||
| Maximum Drawdown | 15.03 | |||
| Value At Risk | (3.80) | |||
| Potential Upside | 5.55 |
Indorama Ventures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Indorama Ventures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Indorama Ventures' standard deviation. In reality, there are many statistical measures that can use Indorama Ventures historical prices to predict the future Indorama Ventures' volatility.| Risk Adjusted Performance | 0.1326 | |||
| Jensen Alpha | 0.4603 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.144 | |||
| Treynor Ratio | (2.35) |
Indorama Ventures PCL Backtested Returns
Indorama Ventures appears to be not too volatile, given 3 months investment horizon. Indorama Ventures PCL holds Efficiency (Sharpe) Ratio of 0.22, which attests that the entity had a 0.22% return per unit of risk over the last 3 months. By evaluating Indorama Ventures' technical indicators, you can evaluate if the expected return of 0.53% is justified by implied risk. Please utilize Indorama Ventures' Downside Deviation of 2.15, risk adjusted performance of 0.1326, and Market Risk Adjusted Performance of (2.34) to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Indorama Ventures holds a performance score of 16. The company retains a Market Volatility (i.e., Beta) of -0.19, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Indorama Ventures are expected to decrease at a much lower rate. During the bear market, Indorama Ventures is likely to outperform the market. Please check Indorama Ventures' semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether Indorama Ventures' current trending patterns will revert.
Auto-correlation | -0.12 |
Insignificant reverse predictability
Indorama Ventures PCL has insignificant reverse predictability. Overlapping area represents the amount of predictability between Indorama Ventures 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 Indorama Ventures PCL price movement. The serial correlation of -0.12 indicates that less than 12.0% of current Indorama Ventures price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.12 | |
| Spearman Rank Test | -0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Indorama Ventures PCL lagged returns against current returns
Autocorrelation, which is Indorama Ventures 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 Indorama Ventures' stock expected returns. We can calculate the autocorrelation of Indorama Ventures returns to help us make a trade decision. For example, suppose you find that Indorama Ventures 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 |
Indorama Ventures 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 Indorama Ventures stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Indorama Ventures stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Indorama Ventures stock over time.
Current vs Lagged Prices |
| Timeline |
Indorama Ventures Lagged Returns
When evaluating Indorama Ventures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Indorama Ventures stock have on its future price. Indorama Ventures 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, Indorama Ventures autocorrelation shows the relationship between Indorama Ventures stock current value and its past values and can show if there is a momentum factor associated with investing in Indorama Ventures PCL.
Regressed Prices |
| Timeline |
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Indorama Ventures financial ratios help investors to determine whether Indorama 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 Indorama with respect to the benefits of owning Indorama Ventures security.