I Tail (Thailand) Market Value
| ITC Stock | 21.20 0.20 0.95% |
| Symbol | ITC |
I Tail '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 I Tail'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 I Tail.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in I Tail on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding i Tail Corp PCL or generate 0.0% return on investment in I Tail over 30 days.
I Tail 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 I Tail'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 i Tail Corp PCL upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.25 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 11.44 | |||
| Value At Risk | (3.49) | |||
| Potential Upside | 4.0 |
I Tail Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for I Tail's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as I Tail's standard deviation. In reality, there are many statistical measures that can use I Tail historical prices to predict the future I Tail's volatility.| Risk Adjusted Performance | 0.0199 | |||
| Jensen Alpha | 0.0471 | |||
| Total Risk Alpha | (0.33) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.20) |
i Tail Corp Backtested Returns
As of now, ITC Stock is not too volatile. i Tail Corp holds Efficiency (Sharpe) Ratio of 0.0348, which attests that the company had a 0.0348% return per unit of volatility over the last 3 months. We have found thirty technical indicators for i Tail Corp, which you can use to evaluate the volatility of the entity. Please check out I Tail's Market Risk Adjusted Performance of (0.19), risk adjusted performance of 0.0199, and Semi Deviation of 1.96 to validate if the risk estimate we provide is consistent with the expected return of 0.0772%. I Tail has a performance score of 2 on a scale of 0 to 100. The firm retains a Market Volatility (i.e., Beta) of -0.15, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning I Tail are expected to decrease at a much lower rate. During the bear market, I Tail is likely to outperform the market. i Tail Corp today retains a risk of 2.22%. Please check out I Tail sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if I Tail will be following its current trending patterns.
Auto-correlation | 0.54 |
Modest predictability
i Tail Corp PCL has modest predictability. Overlapping area represents the amount of predictability between I Tail time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 i Tail Corp price movement. The serial correlation of 0.54 indicates that about 54.0% of current I Tail price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
i Tail Corp lagged returns against current returns
Autocorrelation, which is I Tail 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 I Tail's stock expected returns. We can calculate the autocorrelation of I Tail returns to help us make a trade decision. For example, suppose you find that I Tail 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 |
I Tail 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 I Tail stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if I Tail stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in I Tail stock over time.
Current vs Lagged Prices |
| Timeline |
I Tail Lagged Returns
When evaluating I Tail's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of I Tail stock have on its future price. I Tail 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, I Tail autocorrelation shows the relationship between I Tail stock current value and its past values and can show if there is a momentum factor associated with investing in i Tail Corp PCL.
Regressed Prices |
| Timeline |
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