Zillow Group Inc Backtested Returns
We consider Zillow not too volatile. Zillow Group Inc
shows Sharpe Ratio of 0.1217 which attests that Zillow Group Inc
had 0.1217% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a stock is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for Zillow Group Inc which you can use to evaluate future volatility of the organization. Please check out Zillow Group Inc Market Risk Adjusted Performance
of (0.22), Mean Deviation of 1.1 and Downside Deviation of 1.86 to validate if risk estimate we provide are consistent with the epected return of 0.1778%. Zillow has performance score of 8 on a scale of 0 to 100. The firm maintains market beta of -0.4837 which attests that as returns on market increase, returns on owning Zillow are expected to decrease at a much smaller rate. During bear market, Zillow is likely to outperform the market.. Although it is extremely important to respect Zillow Group Inc historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining Zillow Group Inc technical indicators you can presently evaluate if the expected return of 0.1778% will be sustainable into the future. Zillow Group Inc right now maintains a risk of 1.4611%. Please check out Zillow Group Inc Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Zillow Group Inc will be following its historical returns.
|15 days auto-correlation||(0.52) |
Good reverse predictability
Zillow Group Inc has good reverse predictability. Overlapping area represents the amount of predictability between Zillow time series from November 13, 2017 to November 28, 2017 and November 28, 2017 to December 13, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Zillow Group Inc price movement. The serial correlation of -0.52 indicates that about 52.0% of current Zillow price fluctuation can be explain by its past prices. Given that Zillow Group Inc has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Zillow for similar time interval.
|Correlation Coefficient|| -0.52|
|Spearman Rank Test|| -0.38|
|Price Variance|| 0.36|
|Lagged Price Variance|| 1.33|
Zillow Lagged Returns