Zillow Backtesting

Z -- USA Stock  

USD 44.64  0.03  0.07%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Zillow Group and determine expected loss or profit from investing in Zillow over given investment horizon. See also Zillow Hype Analysis, Zillow Correlation, Zillow Valuation, Zillow Volatility as well as analyze Zillow Alpha and Beta and Zillow Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Zillow 'What if' Analysis

August 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 21, 2018
0.00
If you would invest  0.00  in Zillow on August 22, 2018 and sell it all today you would earn a total of 0.00 from holding Zillow Group or generate 0.0% return on investment in Zillow over 30 days. Zillow is related to or competes with Wharf, First Capital, Nomura Real, Frasers Property, Colliers International, FirstService, and Capital Counties. Zillow Group, Inc. operates real estate and home-related information marketplaces on mobile and the Web in the United St...

Zillow Upside/Downside Indicators

Information Ratio0.22
Maximum Drawdown7.57
Value At Risk4.49
Potential Upside2.19
  

Zillow Market Premium Indicators

Risk Adjusted Performance0.06
Jensen Alpha0.40
Total Risk Alpha0.77
Treynor Ratio0.39

Zillow Group Backtested Returns

Macroaxis considers Zillow to be not too volatile. Zillow Group shows Sharpe Ratio of -0.1564 which attests that Zillow Group had -0.1564% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Zillow Group exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Zillow Group Market Risk Adjusted Performance of 0.38 and Mean Deviation of 1.4 to validate risk estimate we provide. Macroaxis gives Zillow performance score of 0 on a scale of 0 to 100. The firm maintains market beta of 0.8414 which attests that as returns on market increase, Zillow returns are expected to increase less than the market. However during bear market, the loss on holding Zillow will be expected to be smaller as well.. Even though it is essential to pay attention to Zillow Group historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Zillow Group exposes twenty-one different technical indicators which can help you to evaluate its performance. Zillow Group has expected return of -0.2991%. Please be advised to check out Zillow Group Treynor Ratio as well as the relationship between Potential Upside and Expected Short fall to decide if Zillow Group past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

Very weak reverse predictability

Zillow Group has very weak reverse predictability. Overlapping area represents the amount of predictability between Zillow time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 2018. 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 price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Zillow price fluctuation can be explain by its past prices. Given that Zillow Group 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-0.05
Spearman Rank Test0.47
Residual Average0.0
Price Variance1.4

Zillow Group lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Zillow regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Zillow Lagged Returns

 Regressed Prices 
      Timeline 

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See also Zillow Hype Analysis, Zillow Correlation, Zillow Valuation, Zillow Volatility as well as analyze Zillow Alpha and Beta and Zillow Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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