TMBThanachart Bank (Thailand) Market Value
| TTB Stock | 1.76 0.01 0.56% |
| Symbol | TMBThanachart |
TMBThanachart Bank '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 TMBThanachart Bank'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 TMBThanachart Bank.
| 12/05/2023 |
| 11/29/2024 |
If you would invest 0.00 in TMBThanachart Bank on December 5, 2023 and sell it all today you would earn a total of 0.00 from holding TMBThanachart Bank Public or generate 0.0% return on investment in TMBThanachart Bank over 360 days. TMBThanachart Bank is related to or competes with PTT Public, Siam Commercial, CP ALL, SCB X, and Airports. More
TMBThanachart Bank 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 TMBThanachart Bank'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 TMBThanachart Bank Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 7.59 | |||
| Value At Risk | (1.68) | |||
| Potential Upside | 1.16 |
TMBThanachart Bank Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for TMBThanachart Bank's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as TMBThanachart Bank's standard deviation. In reality, there are many statistical measures that can use TMBThanachart Bank historical prices to predict the future TMBThanachart Bank's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | (0.50) |
TMBThanachart Bank Public Backtested Returns
As of now, TMBThanachart Stock is moderately volatile. TMBThanachart Bank Public retains Efficiency (Sharpe Ratio) of 0.0059, which indicates the firm had a 0.0059% return per unit of volatility over the last 3 months. We have found twenty-two technical indicators for TMBThanachart Bank, which you can use to evaluate the volatility of the company. Please validate TMBThanachart Bank's risk adjusted performance of (0), and Standard Deviation of 1.2 to confirm if the risk estimate we provide is consistent with the expected return of 0.0072%. The entity owns a Beta (Systematic Risk) of 0.0399, which indicates not very significant fluctuations relative to the market. As returns on the market increase, TMBThanachart Bank's returns are expected to increase less than the market. However, during the bear market, the loss of holding TMBThanachart Bank is expected to be smaller as well. TMBThanachart Bank Public currently owns a risk of 1.21%. Please validate TMBThanachart Bank Public coefficient of variation, information ratio, total risk alpha, as well as the relationship between the standard deviation and jensen alpha , to decide if TMBThanachart Bank Public will be following its current price history.
Auto-correlation | 0.57 |
Modest predictability
TMBThanachart Bank Public has modest predictability. Overlapping area represents the amount of predictability between TMBThanachart Bank time series from 5th of December 2023 to 2nd of June 2024 and 2nd of June 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 TMBThanachart Bank Public price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current TMBThanachart Bank price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
TMBThanachart Bank Public lagged returns against current returns
Autocorrelation, which is TMBThanachart Bank 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 TMBThanachart Bank's stock expected returns. We can calculate the autocorrelation of TMBThanachart Bank returns to help us make a trade decision. For example, suppose you find that TMBThanachart Bank 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 |
TMBThanachart Bank 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 TMBThanachart Bank stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if TMBThanachart Bank stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in TMBThanachart Bank stock over time.
Current vs Lagged Prices |
| Timeline |
TMBThanachart Bank Lagged Returns
When evaluating TMBThanachart Bank's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of TMBThanachart Bank stock have on its future price. TMBThanachart Bank 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, TMBThanachart Bank autocorrelation shows the relationship between TMBThanachart Bank stock current value and its past values and can show if there is a momentum factor associated with investing in TMBThanachart Bank Public.
Regressed Prices |
| Timeline |
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TMBThanachart Bank financial ratios help investors to determine whether TMBThanachart 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 TMBThanachart with respect to the benefits of owning TMBThanachart Bank security.