Krung Thai (Thailand) Market Value
| KTB Stock | THB 16.70 0.10 0.60% |
| Symbol | Krung |
Krung Thai '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 Krung Thai'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 Krung Thai.
| 03/08/2024 |
| 05/07/2024 |
If you would invest 0.00 in Krung Thai on March 8, 2024 and sell it all today you would earn a total of 0.00 from holding Krung Thai Bank or generate 0.0% return on investment in Krung Thai over 60 days. Krung Thai is related to or competes with PTT Public, and Siam Cement. Krung Thai Bank Public Company Limited provides commercial banking products and services to individuals and corporate cu... More
Krung Thai 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 Krung Thai'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 Krung Thai Bank upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | 0.0518 | |||
| Maximum Drawdown | 6.74 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 1.81 |
Krung Thai Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Krung Thai's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Krung Thai's standard deviation. In reality, there are many statistical measures that can use Krung Thai historical prices to predict the future Krung Thai's volatility.| Risk Adjusted Performance | 0.0773 | |||
| Jensen Alpha | 0.1355 | |||
| Total Risk Alpha | 0.0039 | |||
| Sortino Ratio | 0.0441 | |||
| Treynor Ratio | (0.83) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Krung Thai's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Krung Thai Bank Backtested Returns
We consider Krung Thai very steady. Krung Thai Bank has Sharpe Ratio of 0.13, which conveys that the firm had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Krung Thai, which you can use to evaluate the volatility of the firm. Please verify Krung Thai's Downside Deviation of 1.37, mean deviation of 0.8716, and Risk Adjusted Performance of 0.0773 to check out if the risk estimate we provide is consistent with the expected return of 0.15%. Krung Thai has a performance score of 10 on a scale of 0 to 100. The company secures a Beta (Market Risk) of -0.15, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Krung Thai are expected to decrease at a much lower rate. During the bear market, Krung Thai is likely to outperform the market. Krung Thai Bank right now secures a risk of 1.19%. Please verify Krung Thai Bank sortino ratio, maximum drawdown, potential upside, as well as the relationship between the treynor ratio and value at risk , to decide if Krung Thai Bank will be following its current price movements.
Auto-correlation | 0.87 |
Very good predictability
Krung Thai Bank has very good predictability. Overlapping area represents the amount of predictability between Krung Thai time series from 8th of March 2024 to 7th of April 2024 and 7th of April 2024 to 7th of May 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 Krung Thai Bank price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current Krung Thai price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.87 | |
| Spearman Rank Test | 0.93 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Krung Thai Bank lagged returns against current returns
Autocorrelation, which is Krung Thai 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 Krung Thai's stock expected returns. We can calculate the autocorrelation of Krung Thai returns to help us make a trade decision. For example, suppose you find that Krung Thai 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 |
Krung Thai 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 Krung Thai stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Krung Thai stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Krung Thai stock over time.
Current vs Lagged Prices |
| Timeline |
Krung Thai Lagged Returns
When evaluating Krung Thai's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Krung Thai stock have on its future price. Krung Thai 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, Krung Thai autocorrelation shows the relationship between Krung Thai stock current value and its past values and can show if there is a momentum factor associated with investing in Krung Thai Bank.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Krung Thai Correlation, Krung Thai Volatility and Krung Thai Alpha and Beta module to complement your research on Krung Thai. Note that the Krung Thai Bank information on this page should be used as a complementary analysis to other Krung Thai's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Complementary Tools for Krung Stock analysis
When running Krung Thai's price analysis, check to measure Krung Thai'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 Krung Thai is operating at the current time. Most of Krung Thai's value examination focuses on studying past and present price action to predict the probability of Krung Thai's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Krung Thai's price. Additionally, you may evaluate how the addition of Krung Thai to your portfolios can decrease your overall portfolio volatility.
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Krung Thai technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.