Shufersal (Israel) Market Value
| SAE Stock | ILS 3,467 18.00 0.52% |
| Symbol | Shufersal |
Shufersal '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 Shufersal'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 Shufersal.
| 08/28/2024 |
| 11/26/2024 |
If you would invest 0.00 in Shufersal on August 28, 2024 and sell it all today you would earn a total of 0.00 from holding Shufersal or generate 0.0% return on investment in Shufersal over 90 days. Shufersal is related to or competes with Rami Levi, Bezeq Israeli, Bank Hapoalim, Bank Leumi, and Israel Discount. The company operates through four segments Retail, Real Estate, Credit Card Customers Club Management, and New Pharm More
Shufersal 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 Shufersal'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 Shufersal upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.44 | |||
| Information Ratio | 0.1476 | |||
| Maximum Drawdown | 13.71 | |||
| Value At Risk | (1.99) | |||
| Potential Upside | 2.75 |
Shufersal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Shufersal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Shufersal's standard deviation. In reality, there are many statistical measures that can use Shufersal historical prices to predict the future Shufersal's volatility.| Risk Adjusted Performance | 0.1749 | |||
| Jensen Alpha | 0.4078 | |||
| Total Risk Alpha | 0.103 | |||
| Sortino Ratio | 0.1837 | |||
| Treynor Ratio | (2.03) |
Shufersal Backtested Returns
Shufersal appears to be very steady, given 3 months investment horizon. Shufersal owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the firm had a 0.19% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Shufersal, which you can use to evaluate the volatility of the company. Please review Shufersal's Semi Deviation of 1.02, coefficient of variation of 453.23, and Risk Adjusted Performance of 0.1749 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Shufersal holds a performance score of 15. The entity has a beta of -0.19, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Shufersal are expected to decrease at a much lower rate. During the bear market, Shufersal is likely to outperform the market. Please check Shufersal's value at risk, kurtosis, market facilitation index, as well as the relationship between the semi variance and rate of daily change , to make a quick decision on whether Shufersal's existing price patterns will revert.
Auto-correlation | 0.44 |
Average predictability
Shufersal has average predictability. Overlapping area represents the amount of predictability between Shufersal time series from 28th of August 2024 to 12th of October 2024 and 12th of October 2024 to 26th of November 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 Shufersal price movement. The serial correlation of 0.44 indicates that just about 44.0% of current Shufersal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.44 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 10.5 K |
Shufersal lagged returns against current returns
Autocorrelation, which is Shufersal 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 Shufersal's stock expected returns. We can calculate the autocorrelation of Shufersal returns to help us make a trade decision. For example, suppose you find that Shufersal 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 |
Shufersal 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 Shufersal stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Shufersal stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Shufersal stock over time.
Current vs Lagged Prices |
| Timeline |
Shufersal Lagged Returns
When evaluating Shufersal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Shufersal stock have on its future price. Shufersal 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, Shufersal autocorrelation shows the relationship between Shufersal stock current value and its past values and can show if there is a momentum factor associated with investing in Shufersal.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Shufersal Stock
Shufersal financial ratios help investors to determine whether Shufersal 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 Shufersal with respect to the benefits of owning Shufersal security.