Samchai Steel (Thailand) Market Value
| SAM Stock | THB 0.26 0.04 13.33% |
| Symbol | Samchai |
Samchai Steel '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 Samchai Steel'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 Samchai Steel.
| 01/02/2023 |
| 12/22/2024 |
If you would invest 0.00 in Samchai Steel on January 2, 2023 and sell it all today you would earn a total of 0.00 from holding Samchai Steel Industries or generate 0.0% return on investment in Samchai Steel over 720 days. Samchai Steel is related to or competes with Dynasty Ceramic, Chonburi Concrete, Eastern Star, and Better World. Samchai Steel Industries Public Company Limited manufactures and sells steel pipes and tubes to the construction and fur... More
Samchai Steel 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 Samchai Steel'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 Samchai Steel Industries upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 10.41 | |||
| Information Ratio | 0.1226 | |||
| Maximum Drawdown | 91.92 | |||
| Value At Risk | (12.00) | |||
| Potential Upside | 9.09 |
Samchai Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Samchai Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Samchai Steel's standard deviation. In reality, there are many statistical measures that can use Samchai Steel historical prices to predict the future Samchai Steel's volatility.| Risk Adjusted Performance | 0.1083 | |||
| Jensen Alpha | 1.85 | |||
| Total Risk Alpha | 1.36 | |||
| Sortino Ratio | 0.167 | |||
| Treynor Ratio | (0.44) |
Samchai Steel Industries Backtested Returns
Samchai Steel is out of control given 3 months investment horizon. Samchai Steel Industries owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have collected data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 1.89% are justified by taking the suggested risk. Use Samchai Steel Industries Risk Adjusted Performance of 0.1083, coefficient of variation of 800.98, and Semi Deviation of 3.56 to evaluate company specific risk that cannot be diversified away. Samchai Steel holds a performance score of 10 on a scale of zero to a hundred. The entity has a beta of -4.03, which indicates a somewhat significant risk relative to the market. As returns on the market increase, returns on owning Samchai Steel are expected to decrease by larger amounts. On the other hand, during market turmoil, Samchai Steel is expected to outperform it. Use Samchai Steel Industries sortino ratio, maximum drawdown, and the relationship between the total risk alpha and treynor ratio , to analyze future returns on Samchai Steel Industries.
Auto-correlation | 0.58 |
Modest predictability
Samchai Steel Industries has modest predictability. Overlapping area represents the amount of predictability between Samchai Steel time series from 2nd of January 2023 to 28th of December 2023 and 28th of December 2023 to 22nd 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 Samchai Steel Industries price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Samchai Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Samchai Steel Industries lagged returns against current returns
Autocorrelation, which is Samchai Steel 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 Samchai Steel's stock expected returns. We can calculate the autocorrelation of Samchai Steel returns to help us make a trade decision. For example, suppose you find that Samchai Steel 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 |
Samchai Steel 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 Samchai Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Samchai Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Samchai Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Samchai Steel Lagged Returns
When evaluating Samchai Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Samchai Steel stock have on its future price. Samchai Steel 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, Samchai Steel autocorrelation shows the relationship between Samchai Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Samchai Steel Industries.
Regressed Prices |
| Timeline |
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Samchai Steel financial ratios help investors to determine whether Samchai 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 Samchai with respect to the benefits of owning Samchai Steel security.