KGI Securities (Thailand) Market Value
| KGI Stock | THB 4.28 0.02 0.47% |
| Symbol | KGI |
KGI Securities '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 KGI Securities' 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 KGI Securities.
| 05/27/2024 |
| 11/23/2024 |
If you would invest 0.00 in KGI Securities on May 27, 2024 and sell it all today you would earn a total of 0.00 from holding KGI Securities Public or generate 0.0% return on investment in KGI Securities over 180 days. KGI Securities is related to or competes with Thai Energy, Royal Orchid, Grand Canal, PRG Public, Unique Mining, Thai Group, and Nfc PLC. KGI Securities Public Company Limited, together with its subsidiaries, operates as a brokerage company in Thailand More
KGI Securities 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 KGI Securities' 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 KGI Securities Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8444 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 8.65 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 0.9615 |
KGI Securities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KGI Securities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KGI Securities' standard deviation. In reality, there are many statistical measures that can use KGI Securities historical prices to predict the future KGI Securities' volatility.| Risk Adjusted Performance | 0.0269 | |||
| Jensen Alpha | 0.0146 | |||
| Total Risk Alpha | (0.15) | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | 0.2984 |
KGI Securities Public Backtested Returns
As of now, KGI Stock is somewhat reliable. KGI Securities Public has Sharpe Ratio of 0.0119, which conveys that the firm had a 0.0119% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for KGI Securities, which you can use to evaluate the volatility of the firm. Please verify KGI Securities' mean deviation of 0.6472, and Risk Adjusted Performance of 0.0269 to check out if the risk estimate we provide is consistent with the expected return of 0.0134%. The company secures a Beta (Market Risk) of 0.0824, which conveys not very significant fluctuations relative to the market. As returns on the market increase, KGI Securities' returns are expected to increase less than the market. However, during the bear market, the loss of holding KGI Securities is expected to be smaller as well. KGI Securities Public now secures a risk of 1.13%. Please verify KGI Securities Public jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if KGI Securities Public will be following its current price movements.
Auto-correlation | -0.16 |
Insignificant reverse predictability
KGI Securities Public has insignificant reverse predictability. Overlapping area represents the amount of predictability between KGI Securities time series from 27th of May 2024 to 25th of August 2024 and 25th of August 2024 to 23rd 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 KGI Securities Public price movement. The serial correlation of -0.16 indicates that over 16.0% of current KGI Securities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
KGI Securities Public lagged returns against current returns
Autocorrelation, which is KGI Securities 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 KGI Securities' stock expected returns. We can calculate the autocorrelation of KGI Securities returns to help us make a trade decision. For example, suppose you find that KGI Securities 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 |
KGI Securities 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 KGI Securities stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KGI Securities stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KGI Securities stock over time.
Current vs Lagged Prices |
| Timeline |
KGI Securities Lagged Returns
When evaluating KGI Securities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KGI Securities stock have on its future price. KGI Securities 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, KGI Securities autocorrelation shows the relationship between KGI Securities stock current value and its past values and can show if there is a momentum factor associated with investing in KGI Securities Public.
Regressed Prices |
| Timeline |
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KGI Securities financial ratios help investors to determine whether KGI 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 KGI with respect to the benefits of owning KGI Securities security.