Falabella (Chile) Market Value
| FALABELLA | CLP 3,300 42.00 1.26% |
| Symbol | Falabella |
Falabella '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 Falabella'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 Falabella.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Falabella on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Falabella or generate 0.0% return on investment in Falabella over 720 days. Falabella is related to or competes with Cencosud, Empresas Copec, LATAM Airlines, Sociedad Qumica, and Banco Santander. Falabella S.A. engages in the physical and online retail trade business in Chile, Peru, Colombia, Argentina, Brazil, Uru... More
Falabella 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 Falabella'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 Falabella upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.36 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 5.58 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 3.1 |
Falabella Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Falabella's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Falabella's standard deviation. In reality, there are many statistical measures that can use Falabella historical prices to predict the future Falabella's volatility.| Risk Adjusted Performance | 0.0305 | |||
| Jensen Alpha | 0.0206 | |||
| Total Risk Alpha | (0.21) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.2573 |
Falabella Backtested Returns
As of now, Falabella Stock is very steady. Falabella secures Sharpe Ratio (or Efficiency) of 0.0412, which denotes the company had a 0.0412% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Falabella, which you can use to evaluate the volatility of the firm. Please confirm Falabella's Mean Deviation of 1.22, coefficient of variation of 2998.71, and Downside Deviation of 1.36 to check if the risk estimate we provide is consistent with the expected return of 0.0634%. Falabella has a performance score of 3 on a scale of 0 to 100. The firm shows a Beta (market volatility) of 0.16, which means not very significant fluctuations relative to the market. As returns on the market increase, Falabella's returns are expected to increase less than the market. However, during the bear market, the loss of holding Falabella is expected to be smaller as well. Falabella right now shows a risk of 1.54%. Please confirm Falabella standard deviation, treynor ratio, downside variance, as well as the relationship between the total risk alpha and value at risk , to decide if Falabella will be following its price patterns.
Auto-correlation | 0.58 |
Modest predictability
Falabella has modest predictability. Overlapping area represents the amount of predictability between Falabella time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Falabella price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Falabella price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 201.1 K |
Falabella lagged returns against current returns
Autocorrelation, which is Falabella 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 Falabella's stock expected returns. We can calculate the autocorrelation of Falabella returns to help us make a trade decision. For example, suppose you find that Falabella 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 |
Falabella 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 Falabella stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Falabella stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Falabella stock over time.
Current vs Lagged Prices |
| Timeline |
Falabella Lagged Returns
When evaluating Falabella's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Falabella stock have on its future price. Falabella 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, Falabella autocorrelation shows the relationship between Falabella stock current value and its past values and can show if there is a momentum factor associated with investing in Falabella.
Regressed Prices |
| Timeline |
Pair Trading with Falabella
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Falabella position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Falabella will appreciate offsetting losses from the drop in the long position's value.Moving together with Falabella Stock
Moving against Falabella Stock
The ability to find closely correlated positions to Falabella could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Falabella when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Falabella - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Falabella to buy it.
The correlation of Falabella is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Falabella moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Falabella moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Falabella can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Falabella Stock
Falabella financial ratios help investors to determine whether Falabella 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 Falabella with respect to the benefits of owning Falabella security.