Satcom Systems (Israel) Market Value
| STCM Stock | ILS 61.70 1.70 2.68% |
| Symbol | Satcom |
Satcom Systems '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 Satcom Systems' 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 Satcom Systems.
| 01/22/2023 |
| 04/16/2024 |
If you would invest 0.00 in Satcom Systems on January 22, 2023 and sell it all today you would earn a total of 0.00 from holding Satcom Systems or generate 0.0% return on investment in Satcom Systems over 450 days. Satcom Systems is related to or competes with Tower Semiconductor, and Israel Discount. Satcom Systems, Ltd. provides satellite and fiber-based connectivity solutions in Africa, Asia, and the Middle East More
Satcom Systems 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 Satcom Systems' 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 Satcom Systems upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.61 | |||
| Information Ratio | 0.1163 | |||
| Maximum Drawdown | 34.81 | |||
| Value At Risk | (5.92) | |||
| Potential Upside | 5.99 |
Satcom Systems Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Satcom Systems' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Satcom Systems' standard deviation. In reality, there are many statistical measures that can use Satcom Systems historical prices to predict the future Satcom Systems' volatility.| Risk Adjusted Performance | 0.0899 | |||
| Jensen Alpha | 0.6357 | |||
| Total Risk Alpha | 0.2071 | |||
| Sortino Ratio | 0.154 | |||
| Treynor Ratio | (1.21) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Satcom Systems' 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.
Satcom Systems Backtested Returns
Satcom Systems appears to be not too volatile, given 3 months investment horizon. Satcom Systems owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the firm had a 0.16% return per unit of risk over the last 3 months. By inspecting Satcom Systems' technical indicators, you can evaluate if the expected return of 0.82% is justified by implied risk. Please review Satcom Systems' Risk Adjusted Performance of 0.0899, semi deviation of 3.18, and Coefficient Of Variation of 772.48 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Satcom Systems holds a performance score of 12. The entity has a beta of -0.5, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Satcom Systems are expected to decrease at a much lower rate. During the bear market, Satcom Systems is likely to outperform the market. Please check Satcom Systems' treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to make a quick decision on whether Satcom Systems' existing price patterns will revert.
Auto-correlation | 0.04 |
Virtually no predictability
Satcom Systems has virtually no predictability. Overlapping area represents the amount of predictability between Satcom Systems time series from 22nd of January 2023 to 4th of September 2023 and 4th of September 2023 to 16th of April 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 Satcom Systems price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current Satcom Systems price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 92.96 |
Satcom Systems lagged returns against current returns
Autocorrelation, which is Satcom Systems 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 Satcom Systems' stock expected returns. We can calculate the autocorrelation of Satcom Systems returns to help us make a trade decision. For example, suppose you find that Satcom Systems 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 |
Satcom Systems 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 Satcom Systems stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Satcom Systems stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Satcom Systems stock over time.
Current vs Lagged Prices |
| Timeline |
Satcom Systems Lagged Returns
When evaluating Satcom Systems' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Satcom Systems stock have on its future price. Satcom Systems 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, Satcom Systems autocorrelation shows the relationship between Satcom Systems stock current value and its past values and can show if there is a momentum factor associated with investing in Satcom Systems.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Satcom Systems in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Satcom Systems' short interest history, or implied volatility extrapolated from Satcom Systems options trading.
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Check out Satcom Systems Correlation, Satcom Systems Volatility and Satcom Systems Alpha and Beta module to complement your research on Satcom Systems. You can also try the Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Complementary Tools for Satcom Stock analysis
When running Satcom Systems' price analysis, check to measure Satcom Systems' 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 Satcom Systems is operating at the current time. Most of Satcom Systems' value examination focuses on studying past and present price action to predict the probability of Satcom Systems' future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Satcom Systems' price. Additionally, you may evaluate how the addition of Satcom Systems to your portfolios can decrease your overall portfolio volatility.
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Satcom Systems 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.