Siam Cement (Thailand) Market Value
| SCC Stock | THB 183.50 1.50 0.81% |
| Symbol | Siam |
Siam Cement '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 Siam Cement'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 Siam Cement.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Siam Cement on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding The Siam Cement or generate 0.0% return on investment in Siam Cement over 540 days. Siam Cement is related to or competes with Krung Thai, KTBST Mixed, Heng Leasing, WHA Industrial, TMBThanachart Bank, Digital Telecommunicatio, and Copperwired Public. The Siam Cement Public Company Limited, together with its subsidiaries, engages in cement, building materials, chemicals... More
Siam Cement 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 Siam Cement'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 The Siam Cement upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 11.07 | |||
| Value At Risk | (3.38) | |||
| Potential Upside | 3.32 |
Siam Cement Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siam Cement's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siam Cement's standard deviation. In reality, there are many statistical measures that can use Siam Cement historical prices to predict the future Siam Cement's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.58) | |||
| Treynor Ratio | 36.28 |
Siam Cement Backtested Returns
Siam Cement owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.15, which indicates the firm had a -0.15% return per unit of risk over the last 3 months. The Siam Cement exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siam Cement's Risk Adjusted Performance of (0.09), variance of 4.25, and Coefficient Of Variation of (808.83) to confirm the risk estimate we provide. The entity has a beta of -0.0073, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Siam Cement are expected to decrease at a much lower rate. During the bear market, Siam Cement is likely to outperform the market. At this point, Siam Cement has a negative expected return of -0.31%. Please make sure to validate Siam Cement's standard deviation, total risk alpha, maximum drawdown, as well as the relationship between the jensen alpha and treynor ratio , to decide if Siam Cement performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.85 |
Very good predictability
The Siam Cement has very good predictability. Overlapping area represents the amount of predictability between Siam Cement time series from 8th of June 2023 to 4th of March 2024 and 4th of March 2024 to 29th 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 Siam Cement price movement. The serial correlation of 0.85 indicates that around 85.0% of current Siam Cement price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 404.04 |
Siam Cement lagged returns against current returns
Autocorrelation, which is Siam Cement 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 Siam Cement's stock expected returns. We can calculate the autocorrelation of Siam Cement returns to help us make a trade decision. For example, suppose you find that Siam Cement 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 |
Siam Cement 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 Siam Cement stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siam Cement stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siam Cement stock over time.
Current vs Lagged Prices |
| Timeline |
Siam Cement Lagged Returns
When evaluating Siam Cement's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siam Cement stock have on its future price. Siam Cement 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, Siam Cement autocorrelation shows the relationship between Siam Cement stock current value and its past values and can show if there is a momentum factor associated with investing in The Siam Cement.
Regressed Prices |
| Timeline |
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Siam Cement financial ratios help investors to determine whether Siam 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 Siam with respect to the benefits of owning Siam Cement security.