ZURICH INSURANCE (Germany) Market Value
| ZFI1 Stock | 46.00 0.20 0.43% |
| Symbol | ZURICH |
ZURICH INSURANCE 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to ZURICH INSURANCE's stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of ZURICH INSURANCE.
| 04/14/2024 |
| 05/14/2024 |
If you would invest 0.00 in ZURICH INSURANCE on April 14, 2024 and sell it all today you would earn a total of 0.00 from holding ZURICH INSURANCE GROUP or generate 0.0% return on investment in ZURICH INSURANCE over 30 days. ZURICH INSURANCE is related to or competes with VASCO DATA, DOCDATA, Canadian Utilities, Stewart Information, and Alibaba Health. More
ZURICH INSURANCE Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure ZURICH INSURANCE's stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess ZURICH INSURANCE GROUP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.68 | |||
| Information Ratio | 0.0116 | |||
| Maximum Drawdown | 8.14 | |||
| Value At Risk | (2.17) | |||
| Potential Upside | 2.64 |
ZURICH INSURANCE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ZURICH INSURANCE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ZURICH INSURANCE's standard deviation. In reality, there are many statistical measures that can use ZURICH INSURANCE historical prices to predict the future ZURICH INSURANCE's volatility.| Risk Adjusted Performance | 0.0445 | |||
| Jensen Alpha | 0.0768 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | 0.0105 | |||
| Treynor Ratio | 0.6952 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ZURICH INSURANCE's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
ZURICH INSURANCE Backtested Returns
We consider ZURICH INSURANCE very steady. ZURICH INSURANCE shows Sharpe Ratio of 0.058, which attests that the company had a 0.058% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for ZURICH INSURANCE, which you can use to evaluate the volatility of the company. Please check out ZURICH INSURANCE's Downside Deviation of 1.68, market risk adjusted performance of 0.7052, and Mean Deviation of 1.04 to validate if the risk estimate we provide is consistent with the expected return of 0.0874%. ZURICH INSURANCE has a performance score of 4 on a scale of 0 to 100. The firm maintains a market beta of 0.12, which attests to not very significant fluctuations relative to the market. As returns on the market increase, ZURICH INSURANCE's returns are expected to increase less than the market. However, during the bear market, the loss of holding ZURICH INSURANCE is expected to be smaller as well. ZURICH INSURANCE right now maintains a risk of 1.51%. Please check out ZURICH INSURANCE treynor ratio, value at risk, downside variance, as well as the relationship between the maximum drawdown and potential upside , to decide if ZURICH INSURANCE will be following its historical returns.
Auto-correlation | -0.19 |
Insignificant reverse predictability
ZURICH INSURANCE GROUP has insignificant reverse predictability. Overlapping area represents the amount of predictability between ZURICH INSURANCE time series from 14th of April 2024 to 29th of April 2024 and 29th of April 2024 to 14th of May 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ZURICH INSURANCE price movement. The serial correlation of -0.19 indicates that over 19.0% of current ZURICH INSURANCE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.34 |
ZURICH INSURANCE lagged returns against current returns
Autocorrelation, which is ZURICH INSURANCE stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting ZURICH INSURANCE's stock expected returns. We can calculate the autocorrelation of ZURICH INSURANCE returns to help us make a trade decision. For example, suppose you find that ZURICH INSURANCE has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
ZURICH INSURANCE regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If ZURICH INSURANCE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ZURICH INSURANCE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ZURICH INSURANCE stock over time.
Current vs Lagged Prices |
| Timeline |
ZURICH INSURANCE Lagged Returns
When evaluating ZURICH INSURANCE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ZURICH INSURANCE stock have on its future price. ZURICH INSURANCE autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, ZURICH INSURANCE autocorrelation shows the relationship between ZURICH INSURANCE stock current value and its past values and can show if there is a momentum factor associated with investing in ZURICH INSURANCE GROUP.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out ZURICH INSURANCE Correlation, ZURICH INSURANCE Volatility and ZURICH INSURANCE Alpha and Beta module to complement your research on ZURICH INSURANCE. You can also try the Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Complementary Tools for ZURICH Stock analysis
When running ZURICH INSURANCE's price analysis, check to measure ZURICH INSURANCE's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy ZURICH INSURANCE is operating at the current time. Most of ZURICH INSURANCE's value examination focuses on studying past and present price action to predict the probability of ZURICH INSURANCE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move ZURICH INSURANCE's price. Additionally, you may evaluate how the addition of ZURICH INSURANCE to your portfolios can decrease your overall portfolio volatility.
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ZURICH INSURANCE technical stock analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, stock market cycles, or different charting patterns.