VANACHAI GROUP (Thailand) Volatility

VNG
 Stock
  

THB 5.80  0.05  0.87%   

VANACHAI GROUP PUBLIC owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.11, which indicates the company had -0.11% of return per unit of standard deviation over the last 3 months. Macroaxis approach into measuring the risk of any stock is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. VANACHAI GROUP PUBLIC exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VANACHAI GROUP risk adjusted performance of (0.17), and Market Risk Adjusted Performance of 1.3 to confirm the risk estimate we provide.
  
VANACHAI GROUP 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 VANACHAI daily returns, and it is calculated using variance and standard deviation. We also use VANACHAI's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of VANACHAI GROUP volatility.

720 Days Market Risk

Somewhat reliable

Chance of Distress

Below Average

720 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as VANACHAI GROUP can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of VANACHAI GROUP at lower prices. For example, an investor can purchase VANACHAI stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of VANACHAI GROUP's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with VANACHAI GROUP

+0.79SCBTHE SIAM COMMERCIALPairCorr

Moving against VANACHAI GROUP

-0.64BBLBANGKOK BANK PUBLICPairCorr
-0.53TISCOTISCO FINANCIAL GROUPPairCorr

VANACHAI GROUP Market Sensitivity And Downside Risk

VANACHAI GROUP's beta coefficient measures the volatility of VANACHAI stock compared to the systematic risk of the entire stock 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 VANACHAI stock's returns against your selected market. In other words, VANACHAI GROUP's beta of -0.17 provides an investor with an approximation of how much risk VANACHAI GROUP stock can potentially add to one of your existing portfolios.
VANACHAI GROUP PUBLIC exhibits very low volatility with skewness of 0.47 and kurtosis of 10.86. However, we advise investors to further study VANACHAI GROUP PUBLIC technical indicators to ensure that all market info is available and is reliable. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure VANACHAI GROUP'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 VANACHAI GROUP'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 stocks as prices fall.
3 Months Beta |Analyze VANACHAI GROUP PUBLIC Demand Trend
Check current 90 days VANACHAI GROUP correlation with market (DOW)

VANACHAI Beta

    
  -0.17  
VANACHAI standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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

    
  1.73  
It is essential to understand the difference between upside risk (as represented by VANACHAI GROUP's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of VANACHAI GROUP's daily returns or price. Since the actual investment returns on holding a position in vanachai 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 VANACHAI GROUP.

VANACHAI GROUP PUBLIC Stock Volatility Analysis

Volatility refers to the frequency at which VANACHAI GROUP stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with VANACHAI GROUP's price changes. Investors will then calculate the volatility of VANACHAI GROUP'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 VANACHAI GROUP's volatility:

Historical Volatility

This type of stock volatility measures VANACHAI GROUP's fluctuations based on previous trends. It's commonly used to predict VANACHAI GROUP'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 VANACHAI GROUP'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 VANACHAI GROUP'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. The Median Price line plots median indexes of VANACHAI GROUP PUBLIC price series.
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VANACHAI GROUP Projected Return Density Against Market

Assuming the 90 days trading horizon VANACHAI GROUP PUBLIC has a beta of -0.1682 . This entails as returns on benchmark increase, returns on holding VANACHAI GROUP are expected to decrease at a much lower rate. During the bear market, however, VANACHAI GROUP PUBLIC is likely to outperform the market.
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 VANACHAI GROUP 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 VANACHAI GROUP'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 VANACHAI 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.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. VANACHAI GROUP PUBLIC is significantly underperforming DOW.
   Predicted Return Density   
       Returns  
VANACHAI GROUP's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how vanachai stock's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a VANACHAI GROUP Price Volatility?

Several factors can influence a Stock's stock 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.

VANACHAI GROUP Stock Risk Measures

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 VANACHAI GROUP 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 VANACHAI GROUP'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 VANACHAI 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. Assuming the 90 days trading horizon the coefficient of variation of VANACHAI GROUP is -945.4. The daily returns are distributed with a variance of 2.99 and standard deviation of 1.73. The mean deviation of VANACHAI GROUP PUBLIC is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.42
α
Alpha over DOW
-0.21
β
Beta against DOW-0.17
σ
Overall volatility
1.73
Ir
Information ratio -0.14

VANACHAI GROUP Stock Return Volatility

VANACHAI GROUP historical daily return volatility represents how much of VANACHAI GROUP stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm assumes 1.7288% volatility of returns over the 90 days investment horizon. By contrast, DOW inherits 1.3869% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
       Timeline  

About VANACHAI GROUP Volatility

Volatility is a rate at which the price of VANACHAI GROUP 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 VANACHAI GROUP may increase or decrease. In other words, similar to VANACHAI's beta indicator, it measures the risk of VANACHAI GROUP and helps estimate the fluctuations that may happen in a short period of time. So if prices of VANACHAI GROUP 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.
Vanachai Group Public Company Limited, together with its subsidiaries, produces and distributes wood plates, MDF boards, particle boards, doorskin, and melamine on wood plates in Thailand and internationally. Vanachai Group Public Company Limited is a subsidiary of Vanachai Group of Companies Co., Ltd. VANACHAI GROUP operates under Lumber Wood Production classification in Thailand and is traded on Stock Exchange of Thailand.

VANACHAI GROUP Investment Opportunity

VANACHAI GROUP PUBLIC has a volatility of 1.73 and is 1.24 times more volatile than DOW. 15  of all equities and portfolios are less risky than VANACHAI GROUP. Compared to the overall equity markets, volatility of historical daily returns of VANACHAI GROUP PUBLIC is lower than 15 () of all global equities and portfolios over the last 90 days. Use VANACHAI GROUP PUBLIC to enhance the returns of your portfolios. Benchmarks are essential to demonstrate the utility of optimization algorithms. The stock experiences a moderate upward volatility. Check odds of VANACHAI GROUP to be traded at 6.38 in 90 days.

Good diversification

The correlation between VANACHAI GROUP PUBLIC COMPANY and DJI is -0.14 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding VANACHAI GROUP PUBLIC COMPANY and DJI in the same portfolio, assuming nothing else is changed.

VANACHAI GROUP Additional Risk Indicators

The analysis of VANACHAI GROUP'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 VANACHAI GROUP's investment and either accepting that risk or mitigating it. Along with some common measures of VANACHAI GROUP 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.
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.

VANACHAI GROUP 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 VANACHAI GROUP 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. VANACHAI GROUP'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, VANACHAI GROUP'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 VANACHAI GROUP PUBLIC.
Also, please take a look at World Market Map. You can also try Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.

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When running VANACHAI GROUP PUBLIC price analysis, check to measure VANACHAI GROUP'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 VANACHAI GROUP is operating at the current time. Most of VANACHAI GROUP's value examination focuses on studying past and present price action to predict the probability of VANACHAI GROUP's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move VANACHAI GROUP's price. Additionally, you may evaluate how the addition of VANACHAI GROUP to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between VANACHAI GROUP's value and its price as these two are different measures arrived at by different means. Investors typically determine VANACHAI GROUP value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, VANACHAI GROUP's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.