Zumtobel Group (Austria) Market Value
| ZAG Stock | EUR 4.96 0.03 0.60% |
| Symbol | Zumtobel |
Zumtobel Group '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 Zumtobel Group'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 Zumtobel Group.
| 12/23/2022 |
| 12/12/2024 |
If you would invest 0.00 in Zumtobel Group on December 23, 2022 and sell it all today you would earn a total of 0.00 from holding Zumtobel Group AG or generate 0.0% return on investment in Zumtobel Group over 720 days. Zumtobel Group is related to or competes with Voestalpine, Andritz AG, Wienerberger, Lenzing Aktiengesellscha, and Schoeller Bleckmann. More
Zumtobel Group 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 Zumtobel Group'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 Zumtobel Group AG upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 8.55 | |||
| Value At Risk | (3.07) | |||
| Potential Upside | 3.03 |
Zumtobel Group Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Zumtobel Group's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Zumtobel Group's standard deviation. In reality, there are many statistical measures that can use Zumtobel Group historical prices to predict the future Zumtobel Group's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.40) | |||
| Treynor Ratio | 0.4053 |
Zumtobel Group AG Backtested Returns
Zumtobel Group AG shows Sharpe Ratio of -0.13, which attests that the company had a -0.13% return per unit of risk over the last 3 months. Zumtobel Group AG exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Zumtobel Group's Mean Deviation of 1.19, market risk adjusted performance of 0.4153, and Standard Deviation of 1.68 to validate the risk estimate we provide. The firm maintains a market beta of -0.34, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Zumtobel Group are expected to decrease at a much lower rate. During the bear market, Zumtobel Group is likely to outperform the market. At this point, Zumtobel Group AG has a negative expected return of -0.22%. Please make sure to check out Zumtobel Group's skewness, as well as the relationship between the rate of daily change and period momentum indicator , to decide if Zumtobel Group AG performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.50 |
Modest predictability
Zumtobel Group AG has modest predictability. Overlapping area represents the amount of predictability between Zumtobel Group time series from 23rd of December 2022 to 18th of December 2023 and 18th of December 2023 to 12th of December 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 Zumtobel Group AG price movement. The serial correlation of 0.5 indicates that about 50.0% of current Zumtobel Group price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Zumtobel Group AG lagged returns against current returns
Autocorrelation, which is Zumtobel Group 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 Zumtobel Group's stock expected returns. We can calculate the autocorrelation of Zumtobel Group returns to help us make a trade decision. For example, suppose you find that Zumtobel Group 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 |
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Zumtobel Group 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 Zumtobel Group stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Zumtobel Group stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Zumtobel Group stock over time.
Current vs Lagged Prices |
| Timeline |
Zumtobel Group Lagged Returns
When evaluating Zumtobel Group's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Zumtobel Group stock have on its future price. Zumtobel Group 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, Zumtobel Group autocorrelation shows the relationship between Zumtobel Group stock current value and its past values and can show if there is a momentum factor associated with investing in Zumtobel Group AG.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Zumtobel Stock
Zumtobel Group financial ratios help investors to determine whether Zumtobel 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 Zumtobel with respect to the benefits of owning Zumtobel Group security.