II Group (Thailand) Market Value
| IIG Stock | 5.05 0.05 0.98% |
| Symbol | IIG |
II Group '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 II Group'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 II Group.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in II Group on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding II Group Public or generate 0.0% return on investment in II Group over 30 days.
II Group 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 II Group'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 II Group Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.28 | |||
| Information Ratio | 0.0532 | |||
| Maximum Drawdown | 40.95 | |||
| Value At Risk | (6.56) | |||
| Potential Upside | 11.94 |
II Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for II Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as II Group's standard deviation. In reality, there are many statistical measures that can use II Group historical prices to predict the future II Group's volatility.| Risk Adjusted Performance | 0.0653 | |||
| Jensen Alpha | 0.4192 | |||
| Total Risk Alpha | (0.48) | |||
| Sortino Ratio | 0.0756 | |||
| Treynor Ratio | 2.55 |
II Group Public Backtested Returns
II Group is out of control given 3 months investment horizon. II Group Public retains Efficiency (Sharpe Ratio) of 0.11, which attests that the entity had a 0.11% return per unit of price deviation 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 14.09% are justified by taking the suggested risk. Use II Group Public Market Risk Adjusted Performance of 2.56, standard deviation of 6.09, and Semi Deviation of 3.58 to evaluate company specific risk that cannot be diversified away. II Group holds a performance score of 8 on a scale of zero to a hundred. The company owns a Beta (Systematic Risk) of 0.17, which attests to not very significant fluctuations relative to the market. As returns on the market increase, II Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding II Group is expected to be smaller as well. Use II Group Public mean deviation, downside deviation, standard deviation, as well as the relationship between the semi deviation and coefficient of variation , to analyze future returns on II Group Public.
Auto-correlation | 0.47 |
Average predictability
II Group Public has average predictability. Overlapping area represents the amount of predictability between II Group time series from 30th of October 2024 to 14th of November 2024 and 14th of November 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 II Group Public price movement. The serial correlation of 0.47 indicates that about 47.0% of current II Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
II Group Public lagged returns against current returns
Autocorrelation, which is II Group 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 II Group's stock expected returns. We can calculate the autocorrelation of II Group returns to help us make a trade decision. For example, suppose you find that II Group 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 |
II Group 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 II Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if II Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in II Group stock over time.
Current vs Lagged Prices |
| Timeline |
II Group Lagged Returns
When evaluating II Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of II Group stock have on its future price. II Group 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, II Group autocorrelation shows the relationship between II Group stock current value and its past values and can show if there is a momentum factor associated with investing in II Group Public.
Regressed Prices |
| Timeline |
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