Siam City (Thailand) Volatility
| SCCC-R Stock | THB 161.50 15.00 10.24% |
Siam City is out of control given 3 months investment horizon. Siam City Cement owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the firm had a 0.16% return per unit of risk over the last 3 months. We were able to break down twenty-two different technical indicators, which can help you to evaluate if expected returns of 28.17% are justified by taking the suggested risk. Use Siam City Cement Coefficient Of Variation of 3906.01, variance of 2.49, and Risk Adjusted Performance of 0.0247 to evaluate company specific risk that cannot be diversified away. Key indicators related to Siam City's volatility include:
30 Days Market Risk | Chance Of Distress | 30 Days Economic Sensitivity |
Siam City 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 Siam daily returns, and it is calculated using variance and standard deviation. We also use Siam's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Siam City volatility.
Siam |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Siam City can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game as hey may decide to buy additional stocks of Siam City at lower prices to lower their average cost per share. Similarly, when the prices of Siam City's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with Siam Stock
Siam City Market Sensitivity And Downside Risk
Siam City's beta coefficient measures the volatility of Siam 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 Siam stock's returns against your selected market. In other words, Siam City's beta of 0.3 provides an investor with an approximation of how much risk Siam City stock can potentially add to one of your existing portfolios. Siam City Cement exhibits very low volatility with skewness of 2.5 and kurtosis of 35.34. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Siam City'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 Siam City'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 Siam City Cement Demand TrendCheck current 90 days Siam City correlation with market (Dow Jones Industrial)Siam Beta |
Siam 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.
Standard Deviation | 176.81 |
It is essential to understand the difference between upside risk (as represented by Siam City's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Siam City's daily returns or price. Since the actual investment returns on holding a position in siam stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Siam City.
Siam City Cement Stock Volatility Analysis
Volatility refers to the frequency at which Siam City stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Siam City's price changes. Investors will then calculate the volatility of Siam City'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 Siam City's volatility:
Historical Volatility
This type of stock volatility measures Siam City's fluctuations based on previous trends. It's commonly used to predict Siam City'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 Siam City'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 Siam City'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. Siam City Cement 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.
Siam City Projected Return Density Against Market
Assuming the 90 days trading horizon Siam City has a beta of 0.3047 . This usually implies as returns on the market go up, Siam City average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Siam City Cement 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 Siam City or Basic Materials 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 Siam City'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 Siam 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.
Siam City Cement has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives a Siam City 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Siam City Stock Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Siam City is 627.71. The daily returns are distributed with a variance of 31260.11 and standard deviation of 176.81. The mean deviation of Siam City Cement is currently at 60.74. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | -0.0085 | |
β | Beta against Dow Jones | 0.30 | |
σ | Overall volatility | 176.81 | |
Ir | Information ratio | -0.06 |
Siam City Stock Return Volatility
Siam City historical daily return volatility represents how much of Siam City stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company accepts 176.8053% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Siam City Volatility
Volatility is a rate at which the price of Siam City 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 Siam City may increase or decrease. In other words, similar to Siam's beta indicator, it measures the risk of Siam City and helps estimate the fluctuations that may happen in a short period of time. So if prices of Siam City 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.Siam City Cement Public Company Limited, together with its subsidiaries, manufactures and sells cement products primarily in Thailand. Siam City Cement Public Company Limited was founded in 1969 and is headquartered in Bangkok, Thailand. SIAM CITY operates under Building Materials classification in Thailand and is traded on Stock Exchange of Thailand.
Siam City'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 Siam Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Siam City's price varies over time.
3 ways to utilize Siam City's volatility to invest better
Higher Siam City's stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Siam City Cement 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. Siam City Cement 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 Siam City Cement investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Siam City'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 Siam City's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Siam City Investment Opportunity
Siam City Cement has a volatility of 176.81 and is 235.75 times more volatile than Dow Jones Industrial. 96 percent of all equities and portfolios are less risky than Siam City. You can use Siam City Cement to enhance the returns of your portfolios. The stock experiences a very speculative upward sentiment. Check odds of Siam City to be traded at 201.88 in 90 days.Average diversification
The correlation between Siam City Cement and DJI is 0.15 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Siam City Cement and DJI in the same portfolio, assuming nothing else is changed.
Siam City Additional Risk Indicators
The analysis of Siam City'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 Siam City's investment and either accepting that risk or mitigating it. Along with some common measures of Siam City 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 | 0.0247 | |||
| Market Risk Adjusted Performance | 0.1098 | |||
| Mean Deviation | 0.309 | |||
| Coefficient Of Variation | 3906.01 | |||
| Standard Deviation | 1.58 | |||
| Variance | 2.49 | |||
| Information Ratio | (0.06) |
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.
Siam City 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.
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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 Siam City 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. Siam City'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, Siam City'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 Siam City Cement.
Complementary Tools for Siam Stock analysis
When running Siam City's price analysis, check to measure Siam City's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Siam City is operating at the current time. Most of Siam City's value examination focuses on studying past and present price action to predict the probability of Siam City's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Siam City's price. Additionally, you may evaluate how the addition of Siam City to your portfolios can decrease your overall portfolio volatility.
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