Zalando SE (Poland) Market Value
| ZAL Stock | 124.20 4.60 3.57% |
| Symbol | Zalando |
Zalando SE '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 Zalando SE'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 Zalando SE.
| 04/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Zalando SE on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Zalando SE or generate 0.0% return on investment in Zalando SE over 240 days.
Zalando SE 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 Zalando SE'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 Zalando SE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 5.22 | |||
| Information Ratio | 0.0608 | |||
| Maximum Drawdown | 28.47 | |||
| Value At Risk | (3.73) | |||
| Potential Upside | 4.11 |
Zalando SE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Zalando SE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Zalando SE's standard deviation. In reality, there are many statistical measures that can use Zalando SE historical prices to predict the future Zalando SE's volatility.| Risk Adjusted Performance | 0.086 | |||
| Jensen Alpha | 0.4587 | |||
| Total Risk Alpha | (0.22) | |||
| Sortino Ratio | 0.0386 | |||
| Treynor Ratio | (0.32) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Zalando SE'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.
Zalando SE Backtested Returns
Zalando SE appears to be very steady, given 3 months investment horizon. Zalando SE shows Sharpe Ratio of 0.12, which attests that the company had a 0.12% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Zalando SE, which you can use to evaluate the volatility of the company. Please utilize Zalando SE's Market Risk Adjusted Performance of (0.31), mean deviation of 1.53, and Downside Deviation of 5.22 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Zalando SE holds a performance score of 9. The firm maintains a market beta of -1.02, which attests to a somewhat significant risk relative to the market. As the market becomes more bullish, returns on owning Zalando SE are expected to decrease slowly. On the other hand, during market turmoil, Zalando SE is expected to outperform it slightly. Please check Zalando SE's semi variance, and the relationship between the maximum drawdown and daily balance of power , to make a quick decision on whether Zalando SE's historical returns will revert.
Auto-correlation | -0.81 |
Excellent reverse predictability
Zalando SE has excellent reverse predictability. Overlapping area represents the amount of predictability between Zalando SE time series from 6th of April 2024 to 4th of August 2024 and 4th of August 2024 to 2nd 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 Zalando SE price movement. The serial correlation of -0.81 indicates that around 81.0% of current Zalando SE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.81 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 138.78 |
Zalando SE lagged returns against current returns
Autocorrelation, which is Zalando SE 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 Zalando SE's stock expected returns. We can calculate the autocorrelation of Zalando SE returns to help us make a trade decision. For example, suppose you find that Zalando SE 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 |
Zalando SE 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 Zalando SE stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Zalando SE stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Zalando SE stock over time.
Current vs Lagged Prices |
| Timeline |
Zalando SE Lagged Returns
When evaluating Zalando SE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Zalando SE stock have on its future price. Zalando SE 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, Zalando SE autocorrelation shows the relationship between Zalando SE stock current value and its past values and can show if there is a momentum factor associated with investing in Zalando SE.
Regressed Prices |
| Timeline |
Pair Trading with Zalando SE
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Zalando SE position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Zalando SE will appreciate offsetting losses from the drop in the long position's value.Moving together with Zalando Stock
Moving against Zalando Stock
| 0.64 | SPL | Santander Bank Polska | PairCorr |
| 0.56 | PKN | Polski Koncern Naftowy | PairCorr |
| 0.53 | PEO | Bank Polska Kasa | PairCorr |
| 0.41 | ALE | Allegroeu SA | PairCorr |
The ability to find closely correlated positions to Zalando SE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Zalando SE when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Zalando SE - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Zalando SE to buy it.
The correlation of Zalando SE is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Zalando SE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Zalando SE moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Zalando SE can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Additional Tools for Zalando Stock Analysis
When running Zalando SE's price analysis, check to measure Zalando SE'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 Zalando SE is operating at the current time. Most of Zalando SE's value examination focuses on studying past and present price action to predict the probability of Zalando SE's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Zalando SE's price. Additionally, you may evaluate how the addition of Zalando SE to your portfolios can decrease your overall portfolio volatility.