Sahamit Machinery (Thailand) Market Value
| SMIT Stock | THB 4.10 0.02 0.49% |
| Symbol | Sahamit |
Sahamit Machinery '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 Sahamit Machinery'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 Sahamit Machinery.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Sahamit Machinery on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Sahamit Machinery Public or generate 0.0% return on investment in Sahamit Machinery over 720 days. Sahamit Machinery is related to or competes with Tata Steel, Thaifoods Group, TMT Steel, Erawan, Airports, Eastern Technical, and Pylon Public. Sahamit Machinery Public Company Limited imports and distributes materials, machinery, and appliances for industries in ... More
Sahamit Machinery 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 Sahamit Machinery'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 Sahamit Machinery Public upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.14 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 4.65 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 0.9852 |
Sahamit Machinery Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sahamit Machinery's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sahamit Machinery's standard deviation. In reality, there are many statistical measures that can use Sahamit Machinery historical prices to predict the future Sahamit Machinery's volatility.| Risk Adjusted Performance | 0.0377 | |||
| Jensen Alpha | 0.0081 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.1736 |
Sahamit Machinery Public Backtested Returns
Sahamit Machinery is out of control given 3 months investment horizon. Sahamit Machinery Public owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the firm had a 0.11% return per unit of risk over the last 3 months. We were able to collect data for thirty different technical indicators, which can help you to evaluate if expected returns of 14.1% are justified by taking the suggested risk. Use Sahamit Machinery Public Coefficient Of Variation of 2012.63, risk adjusted performance of 0.0377, and Semi Deviation of 0.6378 to evaluate company specific risk that cannot be diversified away. Sahamit Machinery holds a performance score of 8 on a scale of zero to a hundred. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sahamit Machinery's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sahamit Machinery is expected to be smaller as well. Use Sahamit Machinery Public coefficient of variation, jensen alpha, sortino ratio, as well as the relationship between the standard deviation and total risk alpha , to analyze future returns on Sahamit Machinery Public.
Auto-correlation | -0.05 |
Very weak reverse predictability
Sahamit Machinery Public has very weak reverse predictability. Overlapping area represents the amount of predictability between Sahamit Machinery time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 Sahamit Machinery Public price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Sahamit Machinery price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.05 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Sahamit Machinery Public lagged returns against current returns
Autocorrelation, which is Sahamit Machinery 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 Sahamit Machinery's stock expected returns. We can calculate the autocorrelation of Sahamit Machinery returns to help us make a trade decision. For example, suppose you find that Sahamit Machinery 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 |
Sahamit Machinery 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 Sahamit Machinery stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sahamit Machinery stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sahamit Machinery stock over time.
Current vs Lagged Prices |
| Timeline |
Sahamit Machinery Lagged Returns
When evaluating Sahamit Machinery's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sahamit Machinery stock have on its future price. Sahamit Machinery 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, Sahamit Machinery autocorrelation shows the relationship between Sahamit Machinery stock current value and its past values and can show if there is a momentum factor associated with investing in Sahamit Machinery Public.
Regressed Prices |
| Timeline |
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Sahamit Machinery financial ratios help investors to determine whether Sahamit 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 Sahamit with respect to the benefits of owning Sahamit Machinery security.