Bangchak Public (Thailand) Market Value
| BCP Stock | THB 32.50 0.25 0.76% |
| Symbol | Bangchak |
Bangchak 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 Bangchak 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 Bangchak Public.
| 10/31/2023 |
| 11/24/2024 |
If you would invest 0.00 in Bangchak Public on October 31, 2023 and sell it all today you would earn a total of 0.00 from holding Bangchak Public or generate 0.0% return on investment in Bangchak Public over 390 days. Bangchak Public is related to or competes with PTT Oil, Power Solution, Star Petroleum, and Prima Marine. Bangchak Corporation Public Company Limited, an energy company, engages in the refining and marketing of petroleum produ... More
Bangchak 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 Bangchak 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 Bangchak Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.07 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 9.62 | |||
| Value At Risk | (2.94) | |||
| Potential Upside | 4.27 |
Bangchak Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bangchak Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bangchak Public's standard deviation. In reality, there are many statistical measures that can use Bangchak Public historical prices to predict the future Bangchak Public's volatility.| Risk Adjusted Performance | 0.0072 | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.35) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (0.02) |
Bangchak Public Backtested Returns
Bangchak Public secures Sharpe Ratio (or Efficiency) of -0.0686, which signifies that the company had a -0.0686% return per unit of risk over the last 3 months. Bangchak Public exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Bangchak Public's Mean Deviation of 1.66, downside deviation of 2.07, and Risk Adjusted Performance of 0.0072 to double-check the risk estimate we provide. The firm shows a Beta (market volatility) of 0.48, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Bangchak Public's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bangchak Public is expected to be smaller as well. At this point, Bangchak Public has a negative expected return of -0.14%. Please make sure to confirm Bangchak Public's standard deviation, total risk alpha, treynor ratio, as well as the relationship between the jensen alpha and sortino ratio , to decide if Bangchak Public performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.10 |
Insignificant predictability
Bangchak Public has insignificant predictability. Overlapping area represents the amount of predictability between Bangchak Public time series from 31st of October 2023 to 13th of May 2024 and 13th of May 2024 to 24th 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 Bangchak Public price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Bangchak Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 5.71 |
Bangchak Public lagged returns against current returns
Autocorrelation, which is Bangchak 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 Bangchak Public's stock expected returns. We can calculate the autocorrelation of Bangchak Public returns to help us make a trade decision. For example, suppose you find that Bangchak 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 |
Bangchak 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 Bangchak Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bangchak Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bangchak Public stock over time.
Current vs Lagged Prices |
| Timeline |
Bangchak Public Lagged Returns
When evaluating Bangchak Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bangchak Public stock have on its future price. Bangchak 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, Bangchak Public autocorrelation shows the relationship between Bangchak Public stock current value and its past values and can show if there is a momentum factor associated with investing in Bangchak Public.
Regressed Prices |
| Timeline |
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Bangchak Public financial ratios help investors to determine whether Bangchak 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 Bangchak with respect to the benefits of owning Bangchak Public security.