Sarfati (Israel) Market Value
| SRFT Stock | ILS 3,963 57.00 1.42% |
| Symbol | Sarfati |
Sarfati '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 Sarfati'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 Sarfati.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Sarfati on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Sarfati or generate 0.0% return on investment in Sarfati over 30 days. Sarfati is related to or competes with Netanel, Mivtach Shamir, Almogim Holdings, Rotem Shani, and Rani Zim. Zvi Sarfati Sons Investments Constructions Ltd More
Sarfati 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 Sarfati'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 Sarfati upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.48 | |||
| Information Ratio | 0.0769 | |||
| Maximum Drawdown | 8.52 | |||
| Value At Risk | (2.66) | |||
| Potential Upside | 3.05 |
Sarfati Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sarfati's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sarfati's standard deviation. In reality, there are many statistical measures that can use Sarfati historical prices to predict the future Sarfati's volatility.| Risk Adjusted Performance | 0.1162 | |||
| Jensen Alpha | 0.1846 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.058 | |||
| Treynor Ratio | 0.4009 |
Sarfati Backtested Returns
Sarfati appears to be very steady, given 3 months investment horizon. Sarfati owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the firm had a 0.21% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sarfati, which you can use to evaluate the volatility of the company. Please review Sarfati's Risk Adjusted Performance of 0.1162, semi deviation of 2.01, and Coefficient Of Variation of 694.75 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Sarfati holds a performance score of 16. The entity has a beta of 0.65, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sarfati's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sarfati is expected to be smaller as well. Please check Sarfati's maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to make a quick decision on whether Sarfati's existing price patterns will revert.
Auto-correlation | 0.55 |
Modest predictability
Sarfati has modest predictability. Overlapping area represents the amount of predictability between Sarfati time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Sarfati price movement. The serial correlation of 0.55 indicates that about 55.0% of current Sarfati price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 1853.11 |
Sarfati lagged returns against current returns
Autocorrelation, which is Sarfati 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 Sarfati's stock expected returns. We can calculate the autocorrelation of Sarfati returns to help us make a trade decision. For example, suppose you find that Sarfati 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 |
Sarfati 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 Sarfati stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sarfati stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sarfati stock over time.
Current vs Lagged Prices |
| Timeline |
Sarfati Lagged Returns
When evaluating Sarfati's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sarfati stock have on its future price. Sarfati 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, Sarfati autocorrelation shows the relationship between Sarfati stock current value and its past values and can show if there is a momentum factor associated with investing in Sarfati.
Regressed Prices |
| Timeline |
Also Currently Popular
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 Sarfati Stock
Sarfati financial ratios help investors to determine whether Sarfati 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 Sarfati with respect to the benefits of owning Sarfati security.