Thai Life (Thailand) Market Value
| TLI Stock | 11.30 0.70 6.60% |
| Symbol | Thai |
Thai Life '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 Thai Life'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 Thai Life.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Thai Life on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Thai Life Insurance or generate 0.0% return on investment in Thai Life over 30 days. Thai Life is related to or competes with Bangkok Life, PTT Oil, Home Product, and Muangthai Capital. More
Thai Life 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 Thai Life'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 Thai Life Insurance upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.48 | |||
| Information Ratio | 0.1901 | |||
| Maximum Drawdown | 15.28 | |||
| Value At Risk | (2.80) | |||
| Potential Upside | 5.64 |
Thai Life Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thai Life's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thai Life's standard deviation. In reality, there are many statistical measures that can use Thai Life historical prices to predict the future Thai Life's volatility.| Risk Adjusted Performance | 0.189 | |||
| Jensen Alpha | 0.5891 | |||
| Total Risk Alpha | 0.219 | |||
| Sortino Ratio | 0.1977 | |||
| Treynor Ratio | 4.25 |
Thai Life Insurance Backtested Returns
Thai Life appears to be not too volatile, given 3 months investment horizon. Thai Life Insurance owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.2, which indicates the firm had a 0.2% return per unit of risk over the last 3 months. By inspecting Thai Life's technical indicators, you can evaluate if the expected return of 0.51% is justified by implied risk. Please review Thai Life's Risk Adjusted Performance of 0.189, coefficient of variation of 419.81, and Semi Deviation of 1.82 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Thai Life holds a performance score of 16. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Thai Life's returns are expected to increase less than the market. However, during the bear market, the loss of holding Thai Life is expected to be smaller as well. Please check Thai Life's semi deviation, coefficient of variation, jensen alpha, as well as the relationship between the downside deviation and standard deviation , to make a quick decision on whether Thai Life's existing price patterns will revert.
Auto-correlation | -0.69 |
Very good reverse predictability
Thai Life Insurance has very good reverse predictability. Overlapping area represents the amount of predictability between Thai Life time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Thai Life Insurance price movement. The serial correlation of -0.69 indicates that around 69.0% of current Thai Life price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.59 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Thai Life Insurance lagged returns against current returns
Autocorrelation, which is Thai Life 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 Thai Life's stock expected returns. We can calculate the autocorrelation of Thai Life returns to help us make a trade decision. For example, suppose you find that Thai Life 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 |
Thai Life 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 Thai Life stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thai Life stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Thai Life stock over time.
Current vs Lagged Prices |
| Timeline |
Thai Life Lagged Returns
When evaluating Thai Life's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thai Life stock have on its future price. Thai Life 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, Thai Life autocorrelation shows the relationship between Thai Life stock current value and its past values and can show if there is a momentum factor associated with investing in Thai Life Insurance.
Regressed Prices |
| Timeline |
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Thai Life financial ratios help investors to determine whether Thai 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 Thai with respect to the benefits of owning Thai Life security.