Loblaw Companies Expected Short fall
| L Stock | | | CAD 61.86 -0.01 -0.02% |
The Expected Short fall reading for Loblaw Companies Limited is computed from historical trading observations. Values reflect historical observations within the available dataset. Loblaw Companies has a market cap of 72.5 B, operating margin of 6.92%, ROE of 23.17%.
Correlation Analysis adds portfolio-level perspective. The portfolio structure is presented for analytical context. The view is constructed from recorded portfolio positions. This overview is based on available data and does not express a directional view. A position in Loblaw Companies Limited is indicated here. This is part of the broader portfolio composition. Position allocation is driven by the portfolio construction model. All values are based on available data and provided as reference information. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as
signals in real.
Loblaw Companies Limited has current Expected Short fall of
-1.18. Expected shortfall (or ES) is a risk measure that evaluates the market risk of an equity instrument. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The expected shortfall at a particular level is the expected return on the portfolio in the worst percent of the cases. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), and expected tail loss (ETL).
Expected Shortfall | = | Conditional VAR |
| = | -1.18 | |
Expected Short fall Peers Comparison
Expected Short fall Relative To Other Indicators
Loblaw Companies Limited is rated
below average in expected short fall compared to key competitors. It is currently under evaluation in maximum drawdown compared to key competitors .
ES evaluates the value (or risk) of an investment in a conservative way, focusing on the less profitable outcomes. For high values of it ignores the most profitable but unlikely possibilities, for small values of it focuses on the worst losses. On the other hand, unlike the discounted maximum loss even for lower values of expected shortfall does not consider only the single most catastrophic outcome. Expected shortfall is a coherent, and moreover a spectral, measure of financial portfolio risk.
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