Com7 PCL (Thailand) Volatility
| COM7 Stock | THB 24.60 0.40 1.60% |
Com7 PCL appears to be very steady, given 3 months investment horizon. Com7 PCL secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the company had a 0.12 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Com7 PCL, which you can use to evaluate the volatility of the firm. Please makes use of Com7 PCL's Mean Deviation of 1.76, downside deviation of 2.14, and Risk Adjusted Performance of 0.0703 to double-check if our risk estimates are consistent with your expectations.
Sharpe Ratio = 0.1229
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Estimated Market Risk
| 2.25 actual daily | 20 80% of assets are more volatile |
Expected Return
| 0.28 actual daily | 5 95% of assets have higher returns |
Risk-Adjusted Return
| 0.12 actual daily | 9 91% of assets perform better |
Based on monthly moving average Com7 PCL is performing at about 9% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Com7 PCL by adding it to a well-diversified portfolio.
Key indicators related to Com7 PCL's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Com7 PCL Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Com7 daily returns, and it is calculated using variance and standard deviation. We also use Com7's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Com7 PCL volatility.
Com7 |
Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of Com7 PCL at lower prices. For example, an investor can purchase Com7 stock that has halved in price over a short period. This will lower their average cost per share, thereby improving the overall portfolio performance when market normalizes. Main indicators related to Com7 PCL's market risk premium analysis include:
Beta 0.42 | Alpha 0.15 | Risk 2.25 | Sharpe Ratio 0.12 | Expected Return 0.28 |
Moving together with Com7 Stock
| 0.76 | ROJNA | Rojana Industrial Park | PairCorr |
| 0.64 | GBX | Globlex Holding Mana | PairCorr |
| 0.67 | GUNKUL | Gunkul Engineering Public Earnings Call This Week | PairCorr |
| 0.67 | Q-CON | Quality Construction | PairCorr |
| 0.62 | STANLY | Thai Stanley Electric | PairCorr |
| 0.61 | JR | JRW Utility Public | PairCorr |
| 0.85 | ERW | Erawan Group Earnings Call Tomorrow | PairCorr |
| 0.73 | COCOCO | Thai Coconut Public | PairCorr |
| 0.65 | AYUD | Allianz Ayudhya Capital | PairCorr |
| 0.61 | MOSHI | Moshi Moshi Retail | PairCorr |
Com7 PCL Market Sensitivity And Downside Risk
Com7 PCL's beta coefficient measures the volatility of Com7 stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Com7 stock's returns against your selected market. In other words, Com7 PCL's beta of 0.42 provides an investor with an approximation of how much risk Com7 PCL stock can potentially add to one of your existing portfolios. Com7 PCL currently demonstrates below-average downside deviation. It has Information Ratio of 0.05 and Jensen Alpha of 0.15. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Com7 PCL's stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Com7 PCL's stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Com7 PCL Demand TrendCheck current 90 days Com7 PCL correlation with market (Dow Jones Industrial)Com7 PCL Volatility and Downside Risk
Com7 standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Com7 PCL Stock Volatility Analysis
Volatility refers to the frequency at which Com7 PCL stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Com7 PCL's price changes. Investors will then calculate the volatility of Com7 PCL's stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Com7 PCL's volatility:
Historical Volatility
This type of stock volatility measures Com7 PCL's fluctuations based on previous trends. It's commonly used to predict Com7 PCL's future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Com7 PCL's current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Com7 PCL's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Com7 PCL Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Com7 PCL Projected Return Density Against Market
Assuming the 90 days trading horizon Com7 PCL has a beta of 0.4203 suggesting as returns on the market go up, Com7 PCL average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Com7 PCL will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Com7 PCL or Specialty Retail sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Com7 PCL's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Com7 stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Predicted Return Density |
| Returns |
What Drives a Com7 PCL Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Com7 PCL Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Com7 PCL is 813.94. The daily returns are distributed with a variance of 5.07 and standard deviation of 2.25. The mean deviation of Com7 PCL is currently at 1.78. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.15 | |
β | Beta against Dow Jones | 0.42 | |
σ | Overall volatility | 2.25 | |
Ir | Information ratio | 0.05 |
Com7 PCL Stock Return Volatility
Com7 PCL historical daily return volatility represents how much of Com7 PCL stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 2.2523% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7399% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Risk-Adjusted Indicators
There is a big difference between Com7 Stock performing well and Com7 PCL Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Com7 PCL's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| ACG | 2.00 | 0.09 | 0.00 | (0.10) | 2.70 | 3.64 | 18.31 | |||
| TNPC | 1.72 | (0.06) | 0.00 | 0.22 | 0.00 | 3.90 | 17.00 | |||
| SANKO | 1.09 | 0.00 | 0.03 | 0.00 | 1.02 | 2.44 | 5.91 | |||
| SPACK | 1.82 | (0.01) | (0.01) | 0.06 | 2.65 | 4.35 | 16.01 | |||
| TRV | 3.96 | (0.04) | 0.00 | 0.49 | 0.00 | 9.93 | 44.68 | |||
| UP | 0.70 | 0.05 | (0.01) | 0.46 | 0.73 | 1.43 | 3.34 | |||
| WFX | 2.06 | 0.25 | 0.03 | (0.14) | 2.37 | 4.35 | 24.42 | |||
| CHIC | 3.48 | (0.05) | (0.01) | 0.01 | 4.23 | 8.70 | 25.00 | |||
| PAF | 2.21 | 0.09 | 0.01 | 0.43 | 2.66 | 5.56 | 18.44 |
About Com7 PCL Volatility
Volatility is a rate at which the price of Com7 PCL or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Com7 PCL may increase or decrease. In other words, similar to Com7's beta indicator, it measures the risk of Com7 PCL and helps estimate the fluctuations that may happen in a short period of time. So if prices of Com7 PCL fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.Com7 Public Company Limited, together with its subsidiaries, sells IT products, mobiles, and accessories in Thailand. The company also develops computer software provides repair and other services, as well as training services and offers ICT infrastructure solutions. COM7 PUBLIC operates under Computers Phones And Devices classification in Thailand and is traded on Stock Exchange of Thailand.
Com7 PCL's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Com7 Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Com7 PCL's price varies over time.
3 ways to utilize Com7 PCL's volatility to invest better
Higher Com7 PCL's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Com7 PCL stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Com7 PCL stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Com7 PCL investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Com7 PCL's stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Com7 PCL's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Com7 PCL Investment Opportunity
Com7 PCL has a volatility of 2.25 and is 3.04 times more volatile than Dow Jones Industrial. 20 percent of all equities and portfolios are less risky than Com7 PCL. You can use Com7 PCL to protect your portfolios against small market fluctuations. The stock experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Com7 PCL to be traded at 23.86 in 90 days.Average diversification
The correlation between Com7 PCL and DJI is 0.16 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Com7 PCL and DJI in the same portfolio, assuming nothing else is changed.
Com7 PCL Additional Risk Indicators
The analysis of Com7 PCL's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Com7 PCL's investment and either accepting that risk or mitigating it. Along with some common measures of Com7 PCL stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0703 | |||
| Market Risk Adjusted Performance | 0.4312 | |||
| Mean Deviation | 1.76 | |||
| Semi Deviation | 1.92 | |||
| Downside Deviation | 2.14 | |||
| Coefficient Of Variation | 1196.17 | |||
| Standard Deviation | 2.24 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Com7 PCL Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Com7 PCL as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Com7 PCL's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Com7 PCL's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Com7 PCL.
Other Information on Investing in Com7 Stock
Com7 PCL financial ratios help investors to determine whether Com7 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 Com7 with respect to the benefits of owning Com7 PCL security.