ThaiDex SET50 (Thailand) Market Value
| TDEX Etf | THB 9.19 0.02 0.22% |
| Symbol | ThaiDex |
ThaiDex SET50 '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 ThaiDex SET50's etf 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 ThaiDex SET50.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in ThaiDex SET50 on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding ThaiDex SET50 Exchange or generate 0.0% return on investment in ThaiDex SET50 over 30 days. ThaiDex SET50 is related to or competes with BCAP SET100, WISE KTAM, KTAM Gold, and ThaiDEX SET. The investment seeks to replicate as closely as possible, before fees and expenses, the performance of the SET50 index More
ThaiDex SET50 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 ThaiDex SET50's etf 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 ThaiDex SET50 Exchange upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7421 | |||
| Information Ratio | 0.0484 | |||
| Maximum Drawdown | 5.2 | |||
| Value At Risk | (0.85) | |||
| Potential Upside | 2.07 |
ThaiDex SET50 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ThaiDex SET50's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ThaiDex SET50's standard deviation. In reality, there are many statistical measures that can use ThaiDex SET50 historical prices to predict the future ThaiDex SET50's volatility.| Risk Adjusted Performance | 0.1549 | |||
| Jensen Alpha | 0.1364 | |||
| Total Risk Alpha | 0.0289 | |||
| Sortino Ratio | 0.0548 | |||
| Treynor Ratio | 0.824 |
ThaiDex SET50 Exchange Backtested Returns
As of now, ThaiDex Etf is very steady. ThaiDex SET50 Exchange owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.17, which indicates the etf had a 0.17% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for ThaiDex SET50 Exchange, which you can use to evaluate the volatility of the etf. Please validate ThaiDex SET50's Standard Deviation of 0.8401, risk adjusted performance of 0.1549, and Downside Deviation of 0.7421 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The entity has a beta of 0.19, which indicates not very significant fluctuations relative to the market. As returns on the market increase, ThaiDex SET50's returns are expected to increase less than the market. However, during the bear market, the loss of holding ThaiDex SET50 is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
ThaiDex SET50 Exchange has average predictability. Overlapping area represents the amount of predictability between ThaiDex SET50 time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 ThaiDex SET50 Exchange price movement. The serial correlation of 0.47 indicates that about 47.0% of current ThaiDex SET50 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
ThaiDex SET50 Exchange lagged returns against current returns
Autocorrelation, which is ThaiDex SET50 etf'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 ThaiDex SET50's etf expected returns. We can calculate the autocorrelation of ThaiDex SET50 returns to help us make a trade decision. For example, suppose you find that ThaiDex SET50 has exhibited high autocorrelation historically, and you observe that the etf 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 |
ThaiDex SET50 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 ThaiDex SET50 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ThaiDex SET50 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ThaiDex SET50 etf over time.
Current vs Lagged Prices |
| Timeline |
ThaiDex SET50 Lagged Returns
When evaluating ThaiDex SET50's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ThaiDex SET50 etf have on its future price. ThaiDex SET50 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, ThaiDex SET50 autocorrelation shows the relationship between ThaiDex SET50 etf current value and its past values and can show if there is a momentum factor associated with investing in ThaiDex SET50 Exchange.
Regressed Prices |
| Timeline |
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ThaiDex SET50 financial ratios help investors to determine whether ThaiDex Etf 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 ThaiDex with respect to the benefits of owning ThaiDex SET50 security.