STPI Public (Thailand) Market Value
| STPI Stock | THB 3.44 0.10 2.99% |
| Symbol | STPI |
STPI 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 STPI 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 STPI Public.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in STPI Public on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding STPI Public or generate 0.0% return on investment in STPI Public over 720 days. STPI Public is related to or competes with PTT Public, PTT Exploration, Siam Cement, CP ALL, and Kasikornbank Public. STPI Public Company Limited engages in the steel fabrication works, and manufacture of boilers and pressure vessels prim... More
STPI 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 STPI 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 STPI Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 11.64 | |||
| Value At Risk | (3.50) | |||
| Potential Upside | 3.88 |
STPI Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for STPI Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as STPI Public's standard deviation. In reality, there are many statistical measures that can use STPI Public historical prices to predict the future STPI Public's volatility.| Risk Adjusted Performance | 0.0012 | |||
| Jensen Alpha | 0.0096 | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | 0.0917 |
STPI Public Backtested Returns
STPI Public is out of control given 3 months investment horizon. STPI Public owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of standard deviation over the last 3 months. We were able to collect data for twenty-three different technical indicators, which can help you to evaluate if expected returns of 15.9% are justified by taking the suggested risk. Use STPI Public risk adjusted performance of 0.0012, and Variance of 4.55 to evaluate company specific risk that cannot be diversified away. STPI Public holds a performance score of 9 on a scale of zero to a hundred. The entity has a beta of -0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning STPI Public are expected to decrease at a much lower rate. During the bear market, STPI Public is likely to outperform the market. Use STPI Public maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to analyze future returns on STPI Public.
Auto-correlation | -0.38 |
Poor reverse predictability
STPI Public has poor reverse predictability. Overlapping area represents the amount of predictability between STPI 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 STPI Public price movement. The serial correlation of -0.38 indicates that just about 38.0% of current STPI Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
STPI Public lagged returns against current returns
Autocorrelation, which is STPI 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 STPI Public's stock expected returns. We can calculate the autocorrelation of STPI Public returns to help us make a trade decision. For example, suppose you find that STPI 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 |
STPI 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 STPI Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if STPI Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in STPI Public stock over time.
Current vs Lagged Prices |
| Timeline |
STPI Public Lagged Returns
When evaluating STPI Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of STPI Public stock have on its future price. STPI 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, STPI Public autocorrelation shows the relationship between STPI Public stock current value and its past values and can show if there is a momentum factor associated with investing in STPI Public.
Regressed Prices |
| Timeline |
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STPI Public financial ratios help investors to determine whether STPI 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 STPI with respect to the benefits of owning STPI Public security.