AUC Score :
Short-term Tactic1 :
Dominant Strategy :
Time series to forecast n:
ML Model Testing : Transfer Learning (ML)
Hypothesis Testing : Factor
Surveillance : Major exchange and OTC
1Short-term revised.
2Time series is updated based on short-term trends.
Key Points
The Tadawul All Share index is anticipated to experience a period of consolidation, potentially hovering within a defined range, as global economic uncertainties and fluctuating oil prices cast a shadow over investor sentiment. Upside potential exists, particularly if positive developments emerge in key sectors like technology and finance, along with a sustained increase in oil prices, which could catalyze market growth. However, the primary risk lies in a possible downturn. A deterioration in global economic conditions, coupled with a sharp decrease in oil prices or an escalation of geopolitical tensions, could trigger a significant decline in the index. Other risks include potential regulatory changes affecting key industries, a slowdown in domestic consumption, and significant volatility in the financial markets.About Tadawul All Share Index
The Tadawul All Share Index (TASI) serves as the primary benchmark for the Saudi Arabian stock market, encompassing the majority of companies listed on the Saudi Stock Exchange (Tadawul). It functions as a comprehensive measure of overall market performance, reflecting the collective value and movement of the listed equities. As such, the TASI provides a valuable tool for investors, analysts, and policymakers to assess the health and trajectory of the Saudi Arabian economy, particularly within the financial sector. The index plays a crucial role in evaluating market trends, making investment decisions, and benchmarking the performance of investment portfolios.
The composition of the TASI is periodically reviewed and adjusted by the Saudi Stock Exchange to ensure it accurately reflects the dynamic nature of the market. This process involves incorporating new listings, removing delisted companies, and potentially adjusting the weighting of individual stocks based on factors like market capitalization and trading activity. The index's performance is closely monitored by financial institutions, institutional investors, and individuals seeking to understand and participate in the Saudi Arabian stock market. The TASI thus acts as a key indicator of investor sentiment and economic confidence in the region.
Machine Learning Model for Tadawul All Share Index Forecasting
Our team of data scientists and economists has developed a comprehensive machine learning model to forecast the Tadawul All Share (TASI) index. The model integrates a diverse range of economic and market-related data. Key macroeconomic indicators, including Saudi Arabian inflation rates, oil prices (Brent and WTI), and changes in government spending, are incorporated to capture the broad economic environment. Market-specific variables such as trading volume, market capitalization, and sector-specific performance data from TASI constituent companies are used to gauge investor sentiment and the internal dynamics of the market. We employed a time series analysis approach combined with several machine learning algorithms, including Recurrent Neural Networks (RNNs), specifically Long Short-Term Memory (LSTM) networks, known for their ability to handle sequential data and capture temporal dependencies, and ensemble methods like Gradient Boosting machines. These methods are trained on a large historical dataset, with appropriate techniques for data preprocessing and feature engineering to enhance forecast accuracy.
The model's architecture involves several key steps. Initially, the data is preprocessed through techniques such as data cleaning, handling missing values, and standardization. Following this, relevant features are engineered from raw data, including lagged values of the TASI index, moving averages, and changes in economic indicators. The LSTM and Gradient Boosting models are then trained on a significant portion of the preprocessed and engineered dataset. The optimal hyperparameters for each model are determined through cross-validation techniques to prevent overfitting and improve generalization to unseen data. An ensemble approach is used, integrating the outputs of the individual models, typically using a weighted average based on performance metrics like Mean Absolute Error (MAE) and Root Mean Squared Error (RMSE). The ensemble method is designed to provide robustness and potentially improve forecasting accuracy by leveraging the strengths of the individual models.
The final stage involves generating forecasts and evaluating the model's performance. The developed model generates forecasts for the TASI index over a specified time horizon. Performance evaluation is performed using a hold-out test set, comparing the model's predictions against actual TASI values. We use various evaluation metrics, including MAE, RMSE, and the Directional Accuracy (DA) to assess the model's performance. The results are periodically validated and the model is refined through ongoing monitoring and retraining using the updated datasets. This iterative process helps to maintain the model's forecasting accuracy and its ability to adapt to evolving market conditions. The model's outputs are interpreted within the context of broader economic and market signals to inform investment strategies and risk management decisions.
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ML Model Testing
n:Time series to forecast
p:Price signals of Tadawul All Share index
j:Nash equilibria (Neural Network)
k:Dominated move of Tadawul All Share index holders
a:Best response for Tadawul All Share target price
For further technical information as per how our model work we invite you to visit the article below:
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Tadawul All Share Index Forecast Strategic Interaction Table
Strategic Interaction Table Legend:
X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)
Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)
Z axis (Grey to Black): *Technical Analysis%
Tadawul All Share Index: Financial Outlook and Forecast
The Tadawul All Share Index (TASI), representing the performance of all listed companies on the Saudi Stock Exchange (Tadawul), is poised for a period of moderate growth, driven by a confluence of factors specific to the Saudi Arabian economy and global market dynamics. The Kingdom's strategic initiatives under Vision 2030, particularly those focused on economic diversification and privatization, are expected to continue fueling investment and corporate expansion. The growth of non-oil sectors, such as tourism, entertainment, and technology, will be crucial, as these sectors offer diversified revenue streams and create opportunities for new listings on the exchange, thereby broadening the market's base and improving its overall resilience to commodity price fluctuations. Furthermore, the ongoing development of infrastructure projects, including mega-projects like NEOM and the Red Sea Project, will stimulate economic activity and attract foreign direct investment (FDI), which typically has a positive impact on equity valuations.
The anticipated expansion of the Saudi Arabian economy is linked to improvements in corporate earnings. Increased government spending, particularly in areas prioritized by Vision 2030, creates a positive environment for corporations, leading to higher profitability. The financial sector, including banks and insurance companies, is expected to benefit from a growing economy and increased demand for financial products and services. Moreover, ongoing reforms aimed at streamlining business regulations and improving corporate governance are expected to enhance investor confidence and attractiveness of Saudi companies, resulting in increased trading volumes and a rise in the overall market capitalization. The performance of the energy sector, a significant component of the TASI, will be critical. While international oil prices are not easily predicted, the sustainability of moderate oil prices will provide considerable support to the Saudi budget and corporate performance of related companies.
The TASI's outlook is also influenced by global macroeconomic factors. The prevailing interest rate environment in major economies, such as the United States, and associated currency fluctuations, particularly the strength of the US dollar, could impact the appeal of Saudi equities to foreign investors. Further, global inflation and geopolitical instability could contribute to volatility. Nevertheless, the Saudi economy's relatively strong fiscal position, its sovereign wealth fund's financial strength, and the country's strategic role in the global energy market will provide a degree of insulation against external shocks. The active participation of foreign institutional investors in Tadawul should contribute to price discovery and overall liquidity, thereby making the market more sophisticated and more appealing for new and established companies.
Overall, the Tadawul All Share Index is expected to exhibit modest, albeit positive growth. The aforementioned developments within Saudi Arabia's non-oil sectors and infrastructure projects, together with a strong fiscal position, will provide the foundation for sustainable performance. However, this positive outlook is subject to certain risks, notably a potential downturn in oil prices, increased inflation, geopolitical tensions in the region and globally. The success of diversification efforts and the impact of regulatory reforms will also affect the index. Prudent risk management, effective fiscal and monetary policies, and sustained commitment to reforms are key factors for bolstering market confidence and securing the long-term growth potential of the TASI.
| Rating | Short-Term | Long-Term Senior |
|---|---|---|
| Outlook | B1 | B2 |
| Income Statement | C | B3 |
| Balance Sheet | C | Baa2 |
| Leverage Ratios | Baa2 | B3 |
| Cash Flow | Baa2 | C |
| Rates of Return and Profitability | Baa2 | Caa2 |
*An aggregate rating for an index summarizes the overall sentiment towards the companies it includes. This rating is calculated by considering individual ratings assigned to each stock within the index. By taking an average of these ratings, weighted by each stock's importance in the index, a single score is generated. This aggregate rating offers a simplified view of how the index's performance is generally perceived.
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