SAF Special (Thailand) Market Value
| SAF Stock | 0.52 0.02 4.00% |
| Symbol | SAF |
SAF Special '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 SAF Special'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 SAF Special.
| 12/04/2022 |
| 11/23/2024 |
If you would invest 0.00 in SAF Special on December 4, 2022 and sell it all today you would earn a total of 0.00 from holding SAF Special Steel or generate 0.0% return on investment in SAF Special over 720 days. SAF Special is related to or competes with Tata Steel, G J, TMT Steel, MCS Steel, Pacific Pipe, Chow Steel, and Capital Engineering. More
SAF Special 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 SAF Special'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 SAF Special Steel upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.6 | |||
| Information Ratio | (0.0004) | |||
| Maximum Drawdown | 20.58 | |||
| Value At Risk | (7.27) | |||
| Potential Upside | 7.55 |
SAF Special Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SAF Special's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SAF Special's standard deviation. In reality, there are many statistical measures that can use SAF Special historical prices to predict the future SAF Special's volatility.| Risk Adjusted Performance | 0.0303 | |||
| Jensen Alpha | 0.2852 | |||
| Total Risk Alpha | (0.59) | |||
| Sortino Ratio | (0.0003) | |||
| Treynor Ratio | (0.09) |
SAF Special Steel Backtested Returns
As of now, SAF Stock is out of control. SAF Special Steel owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0225, which indicates the company had a 0.0225% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for SAF Special Steel, which you can use to evaluate the volatility of the entity. Please validate SAF Special's Risk Adjusted Performance of 0.0303, downside deviation of 5.6, and Market Risk Adjusted Performance of (0.08) to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. SAF Special has a performance score of 1 on a scale of 0 to 100. The firm has a beta of -1.38, which indicates a somewhat significant risk relative to the market. As returns on the market increase, returns on owning SAF Special are expected to decrease by larger amounts. On the other hand, during market turmoil, SAF Special is expected to outperform it. SAF Special Steel now has a risk of 4.55%. Please validate SAF Special jensen alpha, sortino ratio, and the relationship between the standard deviation and total risk alpha , to decide if SAF Special will be following its existing price patterns.
Auto-correlation | 0.69 |
Good predictability
SAF Special Steel has good predictability. Overlapping area represents the amount of predictability between SAF Special time series from 4th of December 2022 to 29th of November 2023 and 29th of November 2023 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 SAF Special Steel price movement. The serial correlation of 0.69 indicates that around 69.0% of current SAF Special price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
SAF Special Steel lagged returns against current returns
Autocorrelation, which is SAF Special 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 SAF Special's stock expected returns. We can calculate the autocorrelation of SAF Special returns to help us make a trade decision. For example, suppose you find that SAF Special 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 |
SAF Special 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 SAF Special stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SAF Special stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SAF Special stock over time.
Current vs Lagged Prices |
| Timeline |
SAF Special Lagged Returns
When evaluating SAF Special's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SAF Special stock have on its future price. SAF Special 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, SAF Special autocorrelation shows the relationship between SAF Special stock current value and its past values and can show if there is a momentum factor associated with investing in SAF Special Steel.
Regressed Prices |
| Timeline |
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SAF Special financial ratios help investors to determine whether SAF 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 SAF with respect to the benefits of owning SAF Special security.