Autocorp Holding (Thailand) Market Value
| ACG Stock | 0.93 0.01 1.09% |
| Symbol | Autocorp |
Autocorp Holding '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 Autocorp Holding'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 Autocorp Holding.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Autocorp Holding on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Autocorp Holding Public or generate 0.0% return on investment in Autocorp Holding over 720 days. Autocorp Holding is related to or competes with Megachem Public, Erawan, Ditto Public, Eastern Technical, Pylon Public, Dcon Products, and President Bakery. More
Autocorp Holding 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 Autocorp Holding'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 Autocorp Holding Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.35 | |||
| Information Ratio | 0.0291 | |||
| Maximum Drawdown | 39.29 | |||
| Value At Risk | (6.45) | |||
| Potential Upside | 5.88 |
Autocorp Holding Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Autocorp Holding's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Autocorp Holding's standard deviation. In reality, there are many statistical measures that can use Autocorp Holding historical prices to predict the future Autocorp Holding's volatility.| Risk Adjusted Performance | 0.0493 | |||
| Jensen Alpha | 0.1536 | |||
| Total Risk Alpha | (0.58) | |||
| Sortino Ratio | 0.0367 | |||
| Treynor Ratio | 0.2674 |
Autocorp Holding Public Backtested Returns
Autocorp Holding is out of control given 3 months investment horizon. Autocorp Holding Public secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12% return per unit of risk over the last 3 months. We were able to analyze and collect data for twenty-nine different technical indicators, which can help you to evaluate if expected returns of 14.74% are justified by taking the suggested risk. Use Autocorp Holding Mean Deviation of 2.88, risk adjusted performance of 0.0493, and Downside Deviation of 4.35 to evaluate company specific risk that cannot be diversified away. Autocorp Holding holds a performance score of 9 on a scale of zero to a hundred. The firm shows a Beta (market volatility) of 1.05, which signifies a somewhat significant risk relative to the market. Autocorp Holding returns are very sensitive to returns on the market. As the market goes up or down, Autocorp Holding is expected to follow. Use Autocorp Holding total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to analyze future returns on Autocorp Holding.
Auto-correlation | 0.30 |
Below average predictability
Autocorp Holding Public has below average predictability. Overlapping area represents the amount of predictability between Autocorp Holding time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 to 26th 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 Autocorp Holding Public price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Autocorp Holding price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Autocorp Holding Public lagged returns against current returns
Autocorrelation, which is Autocorp Holding 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 Autocorp Holding's stock expected returns. We can calculate the autocorrelation of Autocorp Holding returns to help us make a trade decision. For example, suppose you find that Autocorp Holding 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 |
Autocorp Holding 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 Autocorp Holding stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Autocorp Holding stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Autocorp Holding stock over time.
Current vs Lagged Prices |
| Timeline |
Autocorp Holding Lagged Returns
When evaluating Autocorp Holding's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Autocorp Holding stock have on its future price. Autocorp Holding 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, Autocorp Holding autocorrelation shows the relationship between Autocorp Holding stock current value and its past values and can show if there is a momentum factor associated with investing in Autocorp Holding Public.
Regressed Prices |
| Timeline |
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Autocorp Holding financial ratios help investors to determine whether Autocorp 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 Autocorp with respect to the benefits of owning Autocorp Holding security.