Siam Steel (Thailand) Market Value
| SIAM Stock | THB 1.08 0.01 0.93% |
| Symbol | Siam |
Siam Steel '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 Siam Steel'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 Siam Steel.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Siam Steel on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Siam Steel International or generate 0.0% return on investment in Siam Steel over 30 days. Siam Steel is related to or competes with Asia Aviation, Bangkok Dusit, Bangkok Expressway, Airports, and BTS Group. Siam Steel International Public Company Limited, together with its subsidiaries, manufactures and sells steel office equ... More
Siam Steel 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 Siam Steel'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 Siam Steel International upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 7.98 | |||
| Value At Risk | (2.56) | |||
| Potential Upside | 2.65 |
Siam Steel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siam Steel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siam Steel's standard deviation. In reality, there are many statistical measures that can use Siam Steel historical prices to predict the future Siam Steel's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | 0.5864 |
Siam Steel International Backtested Returns
Siam Steel International owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0522, which indicates the firm had a -0.0522% return per unit of risk over the last 3 months. Siam Steel International exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Siam Steel's Coefficient Of Variation of (4,572), risk adjusted performance of (0.01), and Variance of 2.08 to confirm the risk estimate we provide. The entity has a beta of -0.0709, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Siam Steel are expected to decrease at a much lower rate. During the bear market, Siam Steel is likely to outperform the market. At this point, Siam Steel International has a negative expected return of -0.0766%. Please make sure to validate Siam Steel's jensen alpha, treynor ratio, and the relationship between the standard deviation and total risk alpha , to decide if Siam Steel International performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.18 |
Very weak predictability
Siam Steel International has very weak predictability. Overlapping area represents the amount of predictability between Siam Steel time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd of December 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 Siam Steel International price movement. The serial correlation of 0.18 indicates that over 18.0% of current Siam Steel price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Siam Steel International lagged returns against current returns
Autocorrelation, which is Siam Steel 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 Siam Steel's stock expected returns. We can calculate the autocorrelation of Siam Steel returns to help us make a trade decision. For example, suppose you find that Siam Steel 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 |
Siam Steel 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 Siam Steel stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siam Steel stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siam Steel stock over time.
Current vs Lagged Prices |
| Timeline |
Siam Steel Lagged Returns
When evaluating Siam Steel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siam Steel stock have on its future price. Siam Steel 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, Siam Steel autocorrelation shows the relationship between Siam Steel stock current value and its past values and can show if there is a momentum factor associated with investing in Siam Steel International.
Regressed Prices |
| Timeline |
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Siam Steel financial ratios help investors to determine whether Siam 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 Siam with respect to the benefits of owning Siam Steel security.