Altshuler Shaham (Israel) Market Value
| ALTF Stock | 625.90 3.20 0.51% |
| Symbol | Altshuler |
Altshuler Shaham '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 Altshuler Shaham'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 Altshuler Shaham.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Altshuler Shaham on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Altshuler Shaham Financial or generate 0.0% return on investment in Altshuler Shaham over 30 days. Altshuler Shaham is related to or competes with ICL Israel, Amot Investments, Sure Tech, Arad Investment, Scope Metals, Petrochemical, and Discount Investment. More
Altshuler Shaham 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 Altshuler Shaham'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 Altshuler Shaham Financial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.79 | |||
| Information Ratio | 0.2069 | |||
| Maximum Drawdown | 11.3 | |||
| Value At Risk | (2.34) | |||
| Potential Upside | 4.49 |
Altshuler Shaham Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Altshuler Shaham's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Altshuler Shaham's standard deviation. In reality, there are many statistical measures that can use Altshuler Shaham historical prices to predict the future Altshuler Shaham's volatility.| Risk Adjusted Performance | 0.1895 | |||
| Jensen Alpha | 0.4925 | |||
| Total Risk Alpha | 0.2734 | |||
| Sortino Ratio | 0.257 | |||
| Treynor Ratio | 0.8765 |
Altshuler Shaham Fin Backtested Returns
Altshuler Shaham appears to be very steady, given 3 months investment horizon. Altshuler Shaham Fin secures Sharpe Ratio (or Efficiency) of 0.24, which signifies that the company had a 0.24% return per unit of risk over the last 3 months. By analyzing Altshuler Shaham's technical indicators, you can evaluate if the expected return of 0.54% is justified by implied risk. Please makes use of Altshuler Shaham's Downside Deviation of 1.79, risk adjusted performance of 0.1895, and Mean Deviation of 1.77 to double-check if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Altshuler Shaham holds a performance score of 18. The firm shows a Beta (market volatility) of 0.63, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Altshuler Shaham's returns are expected to increase less than the market. However, during the bear market, the loss of holding Altshuler Shaham is expected to be smaller as well. Please check Altshuler Shaham's total risk alpha, treynor ratio, value at risk, as well as the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Altshuler Shaham's price patterns will revert.
Auto-correlation | 0.91 |
Excellent predictability
Altshuler Shaham Financial has excellent predictability. Overlapping area represents the amount of predictability between Altshuler Shaham time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th of December 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 Altshuler Shaham Fin price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current Altshuler Shaham price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.91 | |
| Spearman Rank Test | 0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 91.19 |
Altshuler Shaham Fin lagged returns against current returns
Autocorrelation, which is Altshuler Shaham 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 Altshuler Shaham's stock expected returns. We can calculate the autocorrelation of Altshuler Shaham returns to help us make a trade decision. For example, suppose you find that Altshuler Shaham 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 |
Altshuler Shaham 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 Altshuler Shaham stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Altshuler Shaham stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Altshuler Shaham stock over time.
Current vs Lagged Prices |
| Timeline |
Altshuler Shaham Lagged Returns
When evaluating Altshuler Shaham's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Altshuler Shaham stock have on its future price. Altshuler Shaham 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, Altshuler Shaham autocorrelation shows the relationship between Altshuler Shaham stock current value and its past values and can show if there is a momentum factor associated with investing in Altshuler Shaham Financial.
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 Altshuler Stock
Altshuler Shaham financial ratios help investors to determine whether Altshuler 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 Altshuler with respect to the benefits of owning Altshuler Shaham security.