MBK Public (Thailand) Market Value
| MBK Stock | THB 18.90 0.20 1.05% |
| Symbol | MBK |
MBK Public '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 MBK Public'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 MBK Public.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in MBK Public on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding MBK Public or generate 0.0% return on investment in MBK Public over 720 days. MBK Public is related to or competes with Land, Central Pattana, AP Public, Quality Houses, and LPN Development. MBK Public Company Limited, together with its subsidiaries, engages in the shopping center, hotel and tourism, golf, rea... More
MBK Public 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 MBK Public'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 MBK Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | 0.0176 | |||
| Maximum Drawdown | 13.82 | |||
| Value At Risk | (2.06) | |||
| Potential Upside | 3.55 |
MBK Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for MBK Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as MBK Public's standard deviation. In reality, there are many statistical measures that can use MBK Public historical prices to predict the future MBK Public's volatility.| Risk Adjusted Performance | 0.069 | |||
| Jensen Alpha | 0.1509 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | 0.0276 | |||
| Treynor Ratio | 1.46 |
MBK Public Backtested Returns
As of now, MBK Stock is not too volatile. MBK Public has Sharpe Ratio of 0.0839, which conveys that the company had a 0.0839% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for MBK Public, which you can use to evaluate the volatility of the entity. Please verify MBK Public's Mean Deviation of 1.47, market risk adjusted performance of 1.47, and Downside Deviation of 1.37 to check out if the risk estimate we provide is consistent with the expected return of 0.18%. MBK Public has a performance score of 6 on a scale of 0 to 100. The firm secures a Beta (Market Risk) of 0.11, which conveys not very significant fluctuations relative to the market. As returns on the market increase, MBK Public's returns are expected to increase less than the market. However, during the bear market, the loss of holding MBK Public is expected to be smaller as well. MBK Public now secures a risk of 2.19%. Please verify MBK Public standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if MBK Public will be following its current price movements.
Auto-correlation | 0.10 |
Insignificant predictability
MBK Public has insignificant predictability. Overlapping area represents the amount of predictability between MBK Public time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 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 MBK Public price movement. The serial correlation of 0.1 indicates that less than 10.0% of current MBK Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 2.07 |
MBK Public lagged returns against current returns
Autocorrelation, which is MBK Public 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 MBK Public's stock expected returns. We can calculate the autocorrelation of MBK Public returns to help us make a trade decision. For example, suppose you find that MBK Public 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 |
MBK Public 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 MBK Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if MBK Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in MBK Public stock over time.
Current vs Lagged Prices |
| Timeline |
MBK Public Lagged Returns
When evaluating MBK Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of MBK Public stock have on its future price. MBK Public 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, MBK Public autocorrelation shows the relationship between MBK Public stock current value and its past values and can show if there is a momentum factor associated with investing in MBK Public.
Regressed Prices |
| Timeline |
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MBK Public financial ratios help investors to determine whether MBK 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 MBK with respect to the benefits of owning MBK Public security.