AUC Score :
Short-term Tactic1 :
Dominant Strategy :
Time series to forecast n:
ML Model Testing : Statistical Inference (ML)
Hypothesis Testing : Linear Regression
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 poised for potential growth driven by continued economic diversification efforts and increased foreign investment. However, risks include global economic slowdowns impacting commodity prices, geopolitical instability in the region, and potential regulatory changes that could introduce volatility and affect investor sentiment.About Tadawul All Share Index
The Tadawul All Share Index (TASI) is the primary benchmark index for the Saudi Arabian stock market, representing the performance of a broad spectrum of listed companies on the Saudi Stock Exchange (Tadawul). Established to provide a comprehensive measure of the market's overall health and direction, the TASI includes companies from various sectors, reflecting the diversification of the Saudi economy. It is widely followed by investors, analysts, and financial institutions as a key indicator of investment trends and economic sentiment within the Kingdom. The index's composition is reviewed periodically to ensure it remains representative of the market's evolving landscape.
The methodology behind the TASI is designed to offer a robust and transparent representation of market movements. It is a free-float adjusted market capitalization-weighted index, meaning that the weight of each constituent stock is determined by its market capitalization, adjusted for the shares that are readily available for trading. This approach ensures that the index accurately reflects the trading activity and investor interest in the Saudi equity market. The TASI serves as a crucial tool for benchmarking investment portfolios, understanding market dynamics, and making informed investment decisions concerning Saudi Arabian equities.
Tadawul All Share Index Forecast Model
Our approach to forecasting the Tadawul All Share Index (TASI) is grounded in a sophisticated machine learning framework, recognizing the multifaceted drivers of equity market performance. We begin by undertaking a comprehensive data acquisition strategy, sourcing a diverse array of relevant datasets. This includes not only historical TASI data itself, but also a broad spectrum of macroeconomic indicators such as inflation rates, GDP growth, interest rate differentials, and commodity prices, particularly crude oil given its significant influence on the Saudi economy. Additionally, we incorporate relevant geopolitical event data, global market sentiment indices, and company-specific fundamental data from major constituents of the TASI. The data undergoes rigorous cleaning, normalization, and feature engineering to extract meaningful signals and mitigate noise, preparing it for robust model training. Our primary objective is to identify complex, non-linear relationships that traditional econometric models may struggle to capture.
The core of our forecasting model utilizes a gradient boosting machine (GBM) ensemble, specifically XGBoost, known for its high predictive accuracy and ability to handle large datasets and complex interactions. We augment this with a recurrent neural network (RNN) architecture, such as a Long Short-Term Memory (LSTM) network, to effectively capture temporal dependencies and sequential patterns inherent in time-series financial data. The GBM serves as a powerful feature extractor, identifying key drivers and their immediate impacts, while the LSTM excels at learning longer-term trends and seasonality. Model validation is conducted using a rolling window approach to simulate real-world trading scenarios, ensuring that the model's performance remains stable and reliable over time. Key performance metrics such as Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), and directional accuracy are meticulously tracked and optimized. Regular retraining and hyperparameter tuning are critical to adapt to evolving market dynamics.
The output of our model provides probabilistic forecasts for the TASI, offering not just a point estimate but also a measure of uncertainty. This allows stakeholders to make more informed decisions by understanding the potential range of future index movements. We are continuously exploring advancements in machine learning, including the integration of attention mechanisms within RNNs and transformer-based models, to further enhance the model's interpretability and predictive power. The ultimate goal is to deliver a robust and adaptive forecasting tool that provides actionable insights for investment strategies and risk management within the Saudi equity market. Our commitment to ongoing research and development ensures that the TASI forecast model remains at the forefront of financial forecasting capabilities.
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:
How do KappaSignal algorithms actually work?
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), Saudi Arabia's primary stock market benchmark, is currently navigating a dynamic financial landscape shaped by a confluence of domestic and global economic forces. The Kingdom's ambitious Vision 2030 initiatives continue to be a significant driver, fostering diversification away from oil dependence and spurring growth in non-oil sectors such as tourism, entertainment, and technology. This structural shift is expected to underpin sustained economic expansion and create new investment opportunities. Furthermore, the government's commitment to fiscal prudence and its strategic management of oil revenues have provided a degree of stability, even amidst global energy market fluctuations. The ongoing privatization efforts and the encouragement of foreign direct investment are crucial elements in enhancing market liquidity and attracting a broader investor base, which are positive indicators for the TASI's long-term performance.
Looking ahead, the financial outlook for the TASI is largely influenced by its ability to maintain momentum in its economic transformation agenda. The increasing contribution of non-oil sectors to the GDP is a critical factor, as it lessens the index's sensitivity to crude oil price volatility. Investments in mega-projects, infrastructure development, and the burgeoning renewable energy sector are poised to generate substantial economic activity and create demand for listed companies. Moreover, the continued integration of the Saudi market into global financial frameworks, including its inclusion in major emerging market indices, is expected to attract significant foreign capital inflows. This influx of investment can lead to enhanced valuations and greater market depth, benefiting a wide range of sectors represented on the TASI.
The forecast for the TASI suggests a trajectory of moderate to strong growth, contingent on the continued successful implementation of Vision 2030 and the prevailing global economic environment. While specific price movements cannot be predicted, the underlying economic fundamentals point towards an optimistic outlook. The Saudi economy is demonstrating resilience and a proactive approach to adapting to global shifts. Key sectors such as banking, petrochemicals, and telecommunications are expected to perform robustly, supported by domestic demand and strategic investments. The diversification strategy is not merely a policy goal but is actively translating into tangible economic growth, which bodes well for corporate earnings and, consequently, for the TASI's valuation.
The prediction for the Tadawul All Share Index is largely positive, driven by structural reforms and economic diversification. However, several risks warrant consideration. Geopolitical tensions in the wider Middle East region could introduce volatility. Furthermore, a significant and sustained downturn in global energy prices, while less impactful than in the past, could still exert pressure on government revenues and investor sentiment. A slowdown in global economic growth could also dampen demand for Saudi exports and reduce foreign investment inflows. Finally, the pace and effectiveness of regulatory reforms and the successful execution of mega-projects are critical for realizing the full potential of the economic transformation and maintaining the positive trajectory of the TASI.
| Rating | Short-Term | Long-Term Senior |
|---|---|---|
| Outlook | Baa2 | B1 |
| Income Statement | B2 | Caa2 |
| Balance Sheet | Ba1 | B1 |
| Leverage Ratios | Baa2 | Caa2 |
| Cash Flow | Baa2 | B2 |
| Rates of Return and Profitability | Baa2 | Baa2 |
*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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