The Siam Cement Stock Volatility
| SCVPF Stock | USD 7.18 0.00 0.00% |
Siam Cement appears to be somewhat reliable, given 3 months investment horizon. Siam Cement owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the firm had a 0.13% return per unit of risk over the last 3 months. We have found seventeen technical indicators for The Siam Cement, which you can use to evaluate the volatility of the company. Please review Siam Cement's Variance of 7.77, coefficient of variation of 797.53, and Risk Adjusted Performance of 0.1031 to confirm if our risk estimates are consistent with your expectations. Key indicators related to Siam Cement's volatility include:
180 Days Market Risk | Chance Of Distress | 180 Days Economic Sensitivity |
Siam Cement Pink Sheet 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 Cement volatility.
Siam |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as Siam Cement 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 Cement at lower prices to lower their average cost per share. Similarly, when the prices of Siam Cement's stock rise, investors can sell out and invest the proceeds in other equities with better opportunities.
Moving together with Siam Pink Sheet
Moving against Siam Pink Sheet
Siam Cement Market Sensitivity And Downside Risk
Siam Cement's beta coefficient measures the volatility of Siam pink sheet 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 pink sheet's returns against your selected market. In other words, Siam Cement's beta of 0.63 provides an investor with an approximation of how much risk Siam Cement pink sheet can potentially add to one of your existing portfolios. The Siam Cement exhibits very low volatility with skewness of 8.12 and kurtosis of 65.95. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Siam Cement's pink sheet risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Siam Cement's pink sheet 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 Cement Demand TrendCheck current 90 days Siam Cement 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 | 2.85 |
It is essential to understand the difference between upside risk (as represented by Siam Cement's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Siam Cement's daily returns or price. Since the actual investment returns on holding a position in siam pink sheet 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 Cement.
Siam Cement Pink Sheet Volatility Analysis
Volatility refers to the frequency at which Siam Cement pink sheet price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Siam Cement's price changes. Investors will then calculate the volatility of Siam Cement's pink sheet to predict their future moves. A pink sheet that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A pink sheet with relatively stable price changes has low volatility. A highly volatile pink sheet 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 Cement's volatility:
Historical Volatility
This type of pink sheet volatility measures Siam Cement's fluctuations based on previous trends. It's commonly used to predict Siam Cement's future behavior based on its past. However, it cannot conclusively determine the future direction of the pink sheet.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Siam Cement's current market price. This means that the pink sheet will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Siam Cement'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 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 Cement Projected Return Density Against Market
Assuming the 90 days horizon Siam Cement has a beta of 0.6314 . This usually implies as returns on the market go up, Siam Cement average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding The Siam 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 Cement or Other 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 Cement's price will be affected by overall pink sheet 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 pink sheet'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.
The Siam Cement has an alpha of 0.2588, implying that it can generate a 0.26 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Siam Cement Price Volatility?
Several factors can influence a pink sheet'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 Cement Pink Sheet Risk Measures
Assuming the 90 days horizon the coefficient of variation of Siam Cement is 779.18. The daily returns are distributed with a variance of 8.14 and standard deviation of 2.85. The mean deviation of The Siam Cement is currently at 0.71. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.26 | |
β | Beta against Dow Jones | 0.63 | |
σ | Overall volatility | 2.85 | |
Ir | Information ratio | 0.08 |
Siam Cement Pink Sheet Return Volatility
Siam Cement historical daily return volatility represents how much of Siam Cement pink sheet's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The company shows 2.8522% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7502% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Siam Cement Volatility
Volatility is a rate at which the price of Siam Cement 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 Cement may increase or decrease. In other words, similar to Siam's beta indicator, it measures the risk of Siam Cement and helps estimate the fluctuations that may happen in a short period of time. So if prices of Siam Cement 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.3 ways to utilize Siam Cement's volatility to invest better
Higher Siam Cement'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 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 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 Cement investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Siam Cement'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 Cement's stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Siam Cement Investment Opportunity
The Siam Cement has a volatility of 2.85 and is 3.8 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of The Siam Cement is lower than 25 percent of all global equities and portfolios over the last 90 days. You can use The Siam Cement to protect your portfolios against small market fluctuations. The pink sheet experiences a normal downward fluctuation but is a risky buy. Check odds of Siam Cement to be traded at $7.11 in 90 days.Average diversification
The correlation between The Siam Cement and DJI is 0.17 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding The Siam Cement and DJI in the same portfolio, assuming nothing else is changed.
Siam Cement Additional Risk Indicators
The analysis of Siam Cement'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 Cement's investment and either accepting that risk or mitigating it. Along with some common measures of Siam Cement pink sheet'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 | 0.1031 | |||
| Market Risk Adjusted Performance | 0.5476 | |||
| Mean Deviation | 0.6776 | |||
| Coefficient Of Variation | 797.53 | |||
| Standard Deviation | 2.79 | |||
| Variance | 7.77 | |||
| Information Ratio | 0.076 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential pink sheets, we recommend comparing similar pink sheets with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Siam Cement 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 Cement 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 Cement'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 Cement'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 The Siam Cement.
Complementary Tools for Siam Pink Sheet analysis
When running Siam Cement's price analysis, check to measure Siam Cement'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 Cement is operating at the current time. Most of Siam Cement's value examination focuses on studying past and present price action to predict the probability of Siam Cement'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 Cement's price. Additionally, you may evaluate how the addition of Siam Cement to your portfolios can decrease your overall portfolio volatility.
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