PTT Global (Thailand) Market Value
| PTTGC Stock | THB 25.50 0.25 0.97% |
| Symbol | PTT |
PTT Global '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 PTT Global'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 PTT Global.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in PTT Global on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding PTT Global Chemical or generate 0.0% return on investment in PTT Global over 30 days. PTT Global is related to or competes with PTT Public, PTT Exploration, Siam Cement, CP ALL, and Kasikornbank Public. PTT Global Chemical Public Company Limited produces and distributes ethylene, propylene polyethylene, and biochemical pr... More
PTT Global 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 PTT Global'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 PTT Global Chemical upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.74 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 22.41 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 5.5 |
PTT Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PTT Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PTT Global's standard deviation. In reality, there are many statistical measures that can use PTT Global historical prices to predict the future PTT Global's volatility.| Risk Adjusted Performance | 0.0325 | |||
| Jensen Alpha | 0.0542 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.2877 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PTT Global's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
PTT Global Chemical Backtested Returns
PTT Global is out of control given 3 months investment horizon. PTT Global Chemical maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the firm had a 0.11% return per unit of standard deviation over the last 3 months. We have analyzed twenty-nine different technical indicators, which can help you to evaluate if expected returns of 14.56% are justified by taking the suggested risk. Use PTT Global Semi Deviation of 1.98, risk adjusted performance of 0.0325, and Market Risk Adjusted Performance of 0.2977 to evaluate company specific risk that cannot be diversified away. PTT Global holds a performance score of 8 on a scale of zero to a hundred. The company holds a Beta of 0.32, which implies possible diversification benefits within a given portfolio. As returns on the market increase, PTT Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding PTT Global is expected to be smaller as well. Use PTT Global skewness, and the relationship between the potential upside and rate of daily change , to analyze future returns on PTT Global.
Auto-correlation | 0.59 |
Modest predictability
PTT Global Chemical has modest predictability. Overlapping area represents the amount of predictability between PTT Global time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 PTT Global Chemical price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current PTT Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
PTT Global Chemical lagged returns against current returns
Autocorrelation, which is PTT Global 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 PTT Global's stock expected returns. We can calculate the autocorrelation of PTT Global returns to help us make a trade decision. For example, suppose you find that PTT Global 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 |
PTT Global 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 PTT Global stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PTT Global stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PTT Global stock over time.
Current vs Lagged Prices |
| Timeline |
PTT Global Lagged Returns
When evaluating PTT Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PTT Global stock have on its future price. PTT Global 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, PTT Global autocorrelation shows the relationship between PTT Global stock current value and its past values and can show if there is a momentum factor associated with investing in PTT Global Chemical.
Regressed Prices |
| Timeline |
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PTT Global financial ratios help investors to determine whether PTT 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 PTT with respect to the benefits of owning PTT Global security.