Sappe Public (Thailand) Market Value
| SAPPE Stock | THB 77.75 0.75 0.97% |
| Symbol | Sappe |
Sappe Public '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 Sappe Public'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 Sappe Public.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Sappe Public on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Sappe Public or generate 0.0% return on investment in Sappe Public over 30 days. Sappe Public is related to or competes with Minor International, and Central Pattana. Sappe Public Company Limited, together with its subsidiaries, manufactures and distributes healthy food and beverage pro... More
Sappe Public 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 Sappe Public'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 Sappe Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.87 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 13.35 | |||
| Value At Risk | (2.97) | |||
| Potential Upside | 3.83 |
Sappe Public Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sappe Public's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sappe Public's standard deviation. In reality, there are many statistical measures that can use Sappe Public historical prices to predict the future Sappe Public's volatility.| Risk Adjusted Performance | 0.0349 | |||
| Jensen Alpha | 0.1246 | |||
| Total Risk Alpha | (0.29) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.19) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sappe Public'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.
Sappe Public Backtested Returns
At this point, Sappe Public is very steady. Sappe Public owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.059, which indicates the firm had a 0.059% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Sappe Public, which you can use to evaluate the volatility of the company. Please validate Sappe Public's Coefficient Of Variation of 2715.4, semi deviation of 1.72, and Risk Adjusted Performance of 0.0349 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. Sappe Public has a performance score of 4 on a scale of 0 to 100. The entity has a beta of -0.4, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Sappe Public are expected to decrease at a much lower rate. During the bear market, Sappe Public is likely to outperform the market. Sappe Public right now has a risk of 2.36%. Please validate Sappe Public semi variance, and the relationship between the maximum drawdown and accumulation distribution , to decide if Sappe Public will be following its existing price patterns.
Auto-correlation | 0.74 |
Good predictability
Sappe Public has good predictability. Overlapping area represents the amount of predictability between Sappe Public 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 Sappe Public price movement. The serial correlation of 0.74 indicates that around 74.0% of current Sappe Public price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 13.54 |
Sappe Public lagged returns against current returns
Autocorrelation, which is Sappe Public 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 Sappe Public's stock expected returns. We can calculate the autocorrelation of Sappe Public returns to help us make a trade decision. For example, suppose you find that Sappe Public 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 |
Sappe Public 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 Sappe Public stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sappe Public stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sappe Public stock over time.
Current vs Lagged Prices |
| Timeline |
Sappe Public Lagged Returns
When evaluating Sappe Public's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sappe Public stock have on its future price. Sappe Public 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, Sappe Public autocorrelation shows the relationship between Sappe Public stock current value and its past values and can show if there is a momentum factor associated with investing in Sappe Public.
Regressed Prices |
| Timeline |
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Sappe Public financial ratios help investors to determine whether Sappe 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 Sappe with respect to the benefits of owning Sappe Public security.