Zscaler Stock Volatility
| ZS Stock | USD 137.41 -3.95 -2.79% |
Sharpe Ratio = -0.064
| Leading Returns | Top Quartile | |||
| Strong | ||||
| Moderate | ||||
| Modest | ||||
| Cash | Low | Moderate | Elevated | High |
| Below Benchmark | ZS |
Latest disclosures for Zscaler show a Market Risk Adjusted Performance of -0.6%, a Risk of 3.95, and a Risk Adjusted Performance of -0.1%. The stock is currently underperforming relative to its full potential based on monthly moving averages.
Key indicators related to Zscaler's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for Zscaler (3 Months):
Beta 0.6 | Alpha -0.35 | Risk 3.95 | Sharpe Ratio -0.06 | Expected Return -0.25 |
Moving together with Zscaler Stock
Moving Against Zscaler Stock
| 0.49 | INTC | Intel Buyout Trend | PairCorr |
| 0.39 | CSCO | Cisco Systems Earnings Call This Week | PairCorr |
Sensitivity To Market
Zscaler beta coefficient measures the volatility of Zscaler stock relative to the systematic risk of the broad market benchmark. A beta of 0.6 indicates the degree of sensitivity to market-wide movements. Current total volatility is approximately 3.95%. Zscaler has shown noticeable price swings over the selected period. Downside deviation is about 0.0% and standard deviation is about 4.08%, which summarize how widely returns have moved. Stock volatility blends company-specific effects with broader market movement. Sector rotation and analyst revisions shift expectations and increase short-term dispersion.
3 Months Beta |Zscaler Demand TrendCurrent 90-day Zscaler correlation with market (Dow Jones Industrial)Downside Risk
Standard deviation measures how far Zscaler returns deviate from the historical mean and remains a primary indicator of total price volatility. A large standard deviation signals wide price swings; a small one signals relative stability.
Standard Deviation | 3.95 |
For Zscaler, the distinction between upside and downside risk matters. Downside risk, the risk of loss specifically, is better measured by semi-deviation or downside deviation of Zscaler's returns. Latest disclosures for Zscaler show a Maximum Drawdown of 19.66.
Stock Volatility Analysis
Volatility describes the degree to which Zscaler stock price fluctuates in either direction. It captures how much Zscaler's price fluctuates, which is relevant to allocation calibration.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of Zscaler's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
For a 90-day investment horizon, Zscaler has a beta of 0.5999. This usually means as returns on the market go up, Zscaler's average returns tend to increase less than the benchmark. However, during a bear market, the loss from holding Zscaler tends to be smaller as well.Zscaler remains sensitive to broader stock market conditions in addition to company or sector-specific developments. Portfolio diversification mitigates only part of this exposure. Latest disclosures for Zscaler show a Mean Deviation of 2.96 and a Standard Deviation of 4.08.
Predicted Return Distribution |
| Density |
What Drives Zscaler's Price Volatility?
Industry Dynamics
Regulatory updates, demand shifts, and competitive changes in the Software sector can move Zscaler's volatility even when broad indices are stable.Political and Economic Environment
Rates, inflation expectations, and policy headlines can shift discount rates and risk appetite for Zscaler.Zscaler's Company-Specific Factors
Earnings surprises, guidance changes, management decisions, and litigation risk are common catalysts for sharp re-pricing in Zscaler's shares.Stock Risk Measures
For a 90-day investment horizon, the coefficient of variation of Zscaler is -1562.61. The daily returns are distributed with a variance of 15.58 and standard deviation of 3.95. The mean deviation of Zscaler is currently at 2.85. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.97
α | Alpha over Dow Jones | -0.3512 | |
β | Beta against Dow Jones | 0.60 | |
σ | Overall volatility | 3.95 | |
Ir | Information ratio | -0.0849 |
Stock Return Volatility
Zscaler historical daily return volatility represents how much of Zscaler stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm reported 3.9474% volatility on return distribution over a 90-day investment horizon. By contrast, Dow Jones Industrial reported 0.9671% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
| High negative correlations
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Risk-Adjusted Indicators
Strong recent returns in Zscaler Stock do not always mean Zscaler Company is outperforming peers on business quality. Peer-relative risk metrics add context on drawdown behavior, consistency, and return quality. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| XYZ | 2.54 | 0.42 | 0.11 | 0.23 | 3.21 | 4.99 | 24.14 | |||
| NXPI | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| TEAM | 3.96 | -0.06 | 0.00 | -0.79 | 0.00 | 7.42 | 24.77 | |||
| DDOG | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| EA | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||
| CRWV | 4.50 | 0.91 | 0.14 | 0.32 | 5.27 | 9.40 | 39.00 | |||
| FTNT | 1.88 | 0.19 | 0.07 | 0.30 | 2.45 | 3.42 | 10.35 | |||
| WDC | 3.42 | 0.98 | 0.23 | 0.43 | 3.60 | 8.60 | 18.24 | |||
| MPWR | 2.54 | 0.61 | 0.19 | 0.26 | 2.94 | 5.74 | 15.48 | |||
| UI | 2.68 | 1.06 | 0.33 | 0.49 | 2.45 | 7.24 | 21.74 |
Risk Metrics, Assumptions & Methodology
Volatility regime analysis for Zscaler identifies whether current dispersion is elevated, compressed, or transitioning between states. Regime stability supports tighter position sizing and more reliable risk budgeting. Zscaler has a market cap of 22.48 billion, ROE of -3.56%.
Reported values for Zscaler are derived from periodic company reporting and market reference feeds and standardized for analysis. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Ellen Johnson, Member of Macroaxis Editorial Board
Volatility Profile Summary
Recent data suggests that Zscaler is more volatile than Dow Jones Industrial by approximately 4.07x over the selected horizon. This differential reflects the relative dispersion of returns and frames how the asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 35% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.Zscaler exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This price-change note interprets the latest move in the context of short-horizon trading behavior. It gains reliability when combined with broader risk controls and volatility-adjusted analysis. an unexpected downward movement. The market is reacting to new fundamentals. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View Zscaler probability analysis.
Moderate diversification
Zscaler currently posts a 0.28 correlation with Dow Jones, indicating a Moderate diversification relationship for the active sample. The overlap area shows the portion of risk diversified away by holding both instruments together.
Additional Risk Indicators
Looking at additional risk metrics for Zscaler frames how the position may behave under different market and portfolio conditions. These measures support both standalone risk assessment and portfolio-level analysis.
| Risk Adjusted Performance | -0.08 | |||
| Market Risk Adjusted Performance | -0.59 | |||
| Mean Deviation | 2.96 | |||
| Coefficient Of Variation | -1,171 | |||
| Standard Deviation | 4.08 | |||
| Variance | 16.65 | |||
| Information Ratio | -0.08 |
Zscaler Suggested Diversification Pairs
Pair trading with Zscaler hedges company-specific exposure by balancing a long view with an offsetting position. The key question is whether the second leg adds real hedge value instead of just creating a more complex version of the same risk.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Zscaler as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Zscaler's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Zscaler's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Zscaler.
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