Vanachai Group (Thailand) Market Value
| VNG Stock | THB 3.40 0.02 0.59% |
| Symbol | Vanachai |
Vanachai Group '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 Vanachai Group'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 Vanachai Group.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Vanachai Group on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Vanachai Group Public or generate 0.0% return on investment in Vanachai Group over 720 days. Vanachai Group is related to or competes with Tata Steel, Thaifoods Group, TMT Steel, Erawan, Airports, Eastern Technical, and Pylon Public. Vanachai Group Public Company Limited, together with its subsidiaries, produces and distributes wood plates, MDF boards,... More
Vanachai Group 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 Vanachai Group'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 Vanachai Group Public upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 6.7 | |||
| Value At Risk | (1.70) | |||
| Potential Upside | 2.41 |
Vanachai Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vanachai Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vanachai Group's standard deviation. In reality, there are many statistical measures that can use Vanachai Group historical prices to predict the future Vanachai Group's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | (0.11) |
Vanachai Group Public Backtested Returns
Vanachai Group is out of control given 3 months investment horizon. Vanachai Group 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 analyze and collect data for twenty-three different technical indicators, which can help you to evaluate if expected returns of 14.19% are justified by taking the suggested risk. Use Vanachai Group Public Risk Adjusted Performance of (0.01), variance of 1.33, and Coefficient Of Variation of (7,227) to evaluate company specific risk that cannot be diversified away. Vanachai Group holds a performance score of 8 on a scale of zero to a hundred. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Vanachai Group's returns are expected to increase less than the market. However, during the bear market, the loss of holding Vanachai Group is expected to be smaller as well. Use Vanachai Group Public maximum drawdown, potential upside, kurtosis, as well as the relationship between the value at risk and skewness , to analyze future returns on Vanachai Group Public.
Auto-correlation | 0.20 |
Weak predictability
Vanachai Group Public has weak predictability. Overlapping area represents the amount of predictability between Vanachai Group time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 Vanachai Group Public price movement. The serial correlation of 0.2 indicates that over 20.0% of current Vanachai Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Vanachai Group Public lagged returns against current returns
Autocorrelation, which is Vanachai Group 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 Vanachai Group's stock expected returns. We can calculate the autocorrelation of Vanachai Group returns to help us make a trade decision. For example, suppose you find that Vanachai Group 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 |
Vanachai Group 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 Vanachai Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vanachai Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vanachai Group stock over time.
Current vs Lagged Prices |
| Timeline |
Vanachai Group Lagged Returns
When evaluating Vanachai Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vanachai Group stock have on its future price. Vanachai Group 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, Vanachai Group autocorrelation shows the relationship between Vanachai Group stock current value and its past values and can show if there is a momentum factor associated with investing in Vanachai Group Public.
Regressed Prices |
| Timeline |
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Vanachai Group financial ratios help investors to determine whether Vanachai 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 Vanachai with respect to the benefits of owning Vanachai Group security.