Siamgas (Thailand) Market Value
| SGP Stock | THB 7.05 0.05 0.71% |
| Symbol | Siamgas |
Siamgas '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 Siamgas' 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 Siamgas.
| 11/14/2024 |
| 12/14/2024 |
If you would invest 0.00 in Siamgas on November 14, 2024 and sell it all today you would earn a total of 0.00 from holding Siamgas and Petrochemicals or generate 0.0% return on investment in Siamgas over 30 days. Siamgas is related to or competes with Bangchak Public, IRPC Public, PTT Exploration, and PTG Energy. Siamgas and Petrochemicals Public Company Limited, together with its subsidiaries, trades in liquefied petroleum gas and... More
Siamgas 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 Siamgas' 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 Siamgas and Petrochemicals upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 4.79 | |||
| Value At Risk | (1.38) | |||
| Potential Upside | 1.42 |
Siamgas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siamgas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siamgas' standard deviation. In reality, there are many statistical measures that can use Siamgas historical prices to predict the future Siamgas' volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | (0.23) |
Siamgas and Petroche Backtested Returns
Siamgas and Petroche owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0903, which indicates the firm had a -0.0903% return per unit of risk over the last 3 months. Siamgas and Petrochemicals exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siamgas' Risk Adjusted Performance of (0.03), variance of 0.8075, and Coefficient Of Variation of (2,339) to confirm the risk estimate we provide. The entity has a beta of 0.21, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Siamgas' returns are expected to increase less than the market. However, during the bear market, the loss of holding Siamgas is expected to be smaller as well. At this point, Siamgas and Petroche has a negative expected return of -0.0759%. Please make sure to validate Siamgas' coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if Siamgas and Petroche performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.85 |
Very good predictability
Siamgas and Petrochemicals has very good predictability. Overlapping area represents the amount of predictability between Siamgas time series from 14th of November 2024 to 29th of November 2024 and 29th of November 2024 to 14th 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 Siamgas and Petroche price movement. The serial correlation of 0.85 indicates that around 85.0% of current Siamgas price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Siamgas and Petroche lagged returns against current returns
Autocorrelation, which is Siamgas 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 Siamgas' stock expected returns. We can calculate the autocorrelation of Siamgas returns to help us make a trade decision. For example, suppose you find that Siamgas 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 |
Siamgas 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 Siamgas stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siamgas stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siamgas stock over time.
Current vs Lagged Prices |
| Timeline |
Siamgas Lagged Returns
When evaluating Siamgas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siamgas stock have on its future price. Siamgas 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, Siamgas autocorrelation shows the relationship between Siamgas stock current value and its past values and can show if there is a momentum factor associated with investing in Siamgas and Petrochemicals.
Regressed Prices |
| Timeline |
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Siamgas financial ratios help investors to determine whether Siamgas 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 Siamgas with respect to the benefits of owning Siamgas security.