Zurich Insurance (Germany) Market Value
| ZFI1 Stock | EUR 49.80 1.80 3.75% |
| 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.
| 05/08/2024 |
| 06/07/2024 |
If you would invest 0.00 in Zurich Insurance on May 8, 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 Sun Life. Zurich Insurance Group AG, together with its subsidiaries, provides insurance products and related services in Europe, t... 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 | 1.63 | |||
| Information Ratio | 0.058 | |||
| Maximum Drawdown | 5.5 | |||
| Value At Risk | (2.36) | |||
| Potential Upside | 2.12 |
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 | 0.0591 | |||
| Jensen Alpha | 0.0957 | |||
| Total Risk Alpha | 0.047 | |||
| Sortino Ratio | 0.0446 | |||
| Treynor Ratio | 0.9665 |
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 0.044, which attests that the company had a 0.044% 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 1.63, mean deviation of 0.9364, and Market Risk Adjusted Performance of 0.9765 to validate if the risk estimate we provide is consistent with the expected return of 0.0563%. Zurich Insurance has a performance score of 3 on a scale of 0 to 100. The firm maintains a market beta of 0.1, 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 1.28%. 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 | 0.63 |
Good predictability
Zurich Insurance Group has good predictability. Overlapping area represents the amount of predictability between Zurich Insurance time series from 8th of May 2024 to 23rd of May 2024 and 23rd of May 2024 to 7th of June 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 0.63 indicates that roughly 63.0% of current Zurich Insurance price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.69 |
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 |
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Other Information on Investing in Zurich Stock
Zurich Insurance financial ratios help investors to determine whether Zurich Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Zurich with respect to the benefits of owning Zurich Insurance security.