Zto Express Stock Volatility
| ZTO Stock | USD 22.79 0.28 1.24% |
ZTO Express appears to be very steady, given 3 months investment horizon. ZTO Express shows Sharpe Ratio of 0.23, which attests that the company had a 0.23 % return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for ZTO Express, which you can use to evaluate the volatility of the company. Please utilize ZTO Express' Risk Adjusted Performance of 0.1732, downside deviation of 1.25, and Mean Deviation of 1.07 to validate if our risk estimates are consistent with your expectations.
Sharpe Ratio = 0.2291
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Based on monthly moving average ZTO Express is performing at about 18% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of ZTO Express by adding it to a well-diversified portfolio.
Key indicators related to ZTO Express' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
ZTO Express Stock volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of ZTO daily returns, and it is calculated using variance and standard deviation. We also use ZTO's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ZTO Express volatility.
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ZTO Express can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of ZTO Express at lower prices. For example, an investor can purchase ZTO stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of ZTO Express' stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns. Main indicators related to ZTO Express' market risk premium analysis include:
Beta 0.74 | Alpha 0.27 | Risk 1.38 | Sharpe Ratio 0.23 | Expected Return 0.32 |
Moving together with ZTO Stock
| 0.96 | EXPD | Expeditors International | PairCorr |
| 0.85 | FDX | FedEx | PairCorr |
| 0.62 | UPS | United Parcel Service | PairCorr |
| 0.76 | XPO | XPO Logistics Earnings Call Tomorrow | PairCorr |
| 0.7 | UPAB | United Parcel Service | PairCorr |
| 0.85 | NCEW | New Century Logistics | PairCorr |
| 0.67 | NRSA | NTG Nordic Transport | PairCorr |
| 0.79 | CJT | Cargojet | PairCorr |
| 0.86 | RLGT | Radiant Logistics | PairCorr |
| 0.81 | CHRW | CH Robinson Worldwide | PairCorr |
| 0.63 | APETF | Alpha Esports Tech | PairCorr |
| 0.68 | THO | Thor Industries | PairCorr |
| 0.61 | RCKY | Rocky Brands | PairCorr |
| 0.9 | OBYCF | Obayashi Earnings Call This Week | PairCorr |
Moving against ZTO Stock
| 0.84 | HKPD | Hong Kong Pharma | PairCorr |
| 0.55 | CJMB | Callan JMB Common | PairCorr |
| 0.48 | AIRT | Air T Inc | PairCorr |
| 0.36 | ATXG | Addentax Group Corp | PairCorr |
ZTO Express Market Sensitivity And Downside Risk
ZTO Express' beta coefficient measures the volatility of ZTO stock compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents ZTO stock's returns against your selected market. In other words, ZTO Express's beta of 0.74 provides an investor with an approximation of how much risk ZTO Express stock can potentially add to one of your existing portfolios. ZTO Express has relatively low volatility with skewness of 0.29 and kurtosis of 0.54. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ZTO Express' stock risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact ZTO Express' stock price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze ZTO Express Demand TrendCheck current 90 days ZTO Express correlation with market (Dow Jones Industrial)ZTO Express Volatility and Downside Risk
ZTO standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
ZTO Express Stock Volatility Analysis
Volatility refers to the frequency at which ZTO Express stock price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ZTO Express' price changes. Investors will then calculate the volatility of ZTO Express' stock to predict their future moves. A stock that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A stock with relatively stable price changes has low volatility. A highly volatile stock is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of ZTO Express' volatility:
Historical Volatility
This type of stock volatility measures ZTO Express' fluctuations based on previous trends. It's commonly used to predict ZTO Express' future behavior based on its past. However, it cannot conclusively determine the future direction of the stock.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for ZTO Express' current market price. This means that the stock will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on ZTO Express' to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. ZTO Express Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
ZTO Express Projected Return Density Against Market
Considering the 90-day investment horizon ZTO Express has a beta of 0.7422 . This usually means as returns on the market go up, ZTO Express average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding ZTO Express will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to ZTO Express or Air Freight & Logistics sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that ZTO Express' price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a ZTO stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Predicted Return Density |
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What Drives a ZTO Express Price Volatility?
Several factors can influence a stock's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.ZTO Express Stock Risk Measures
Considering the 90-day investment horizon the coefficient of variation of ZTO Express is 436.53. The daily returns are distributed with a variance of 1.91 and standard deviation of 1.38. The mean deviation of ZTO Express is currently at 1.07. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.74
α | Alpha over Dow Jones | 0.27 | |
β | Beta against Dow Jones | 0.74 | |
σ | Overall volatility | 1.38 | |
Ir | Information ratio | 0.18 |
ZTO Express Stock Return Volatility
ZTO Express historical daily return volatility represents how much of ZTO Express stock's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The firm has volatility of 1.3822% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.747% volatility on return distribution over the 90 days horizon. Performance |
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Related Correlations Analysis
Risk-Adjusted Indicators
There is a big difference between ZTO Stock performing well and ZTO Express Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze ZTO Express' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
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| JBHT | 1.29 | 0.44 | 0.42 | 0.46 | 0.59 | 4.20 | 6.61 | |||
| EXPD | 1.05 | 0.29 | 0.31 | 0.36 | 0.62 | 2.31 | 5.80 | |||
| XPO | 2.10 | 0.38 | 0.19 | 0.25 | 1.99 | 5.39 | 11.12 | |||
| LTM | 1.52 | 0.65 | 0.34 | 0.98 | 1.29 | 3.95 | 8.49 | |||
| TXT | 1.10 | 0.15 | 0.08 | 0.22 | 1.60 | 2.31 | 11.43 | |||
| CHRW | 1.10 | 0.44 | 0.48 | 0.62 | 0.41 | 2.87 | 5.51 | |||
| ALLE | 0.91 | 0.04 | 0.02 | 0.11 | 0.94 | 2.34 | 5.10 | |||
| CSL | 1.40 | 0.22 | 0.15 | 0.18 | 1.39 | 4.24 | 8.62 | |||
| WSO | 1.40 | 0.20 | 0.15 | 0.21 | 1.17 | 4.09 | 7.55 | |||
| WWD | 1.80 | 0.52 | 0.36 | 0.39 | 1.12 | 3.61 | 16.03 |
About ZTO Express Volatility
Volatility is a rate at which the price of ZTO Express or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of ZTO Express may increase or decrease. In other words, similar to ZTO's beta indicator, it measures the risk of ZTO Express and helps estimate the fluctuations that may happen in a short period of time. So if prices of ZTO Express fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.ZTO Express Inc. provides express delivery and other value-added logistics services in the Peoples Republic of China. The company was founded in 2002 and is headquartered in Shanghai, the Peoples Republic of China. Zto Express operates under Integrated Freight Logistics classification in the United States and is traded on New York Stock Exchange. It employs 23865 people.
ZTO Express' stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on ZTO Stock over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much ZTO Express' price varies over time.
3 ways to utilize ZTO Express' volatility to invest better
Higher ZTO Express' stock volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of ZTO Express stock is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. ZTO Express stock volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of ZTO Express investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in ZTO Express' stock can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of ZTO Express' stock relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
ZTO Express Investment Opportunity
ZTO Express has a volatility of 1.38 and is 1.84 times more volatile than Dow Jones Industrial. 12 percent of all equities and portfolios are less risky than ZTO Express. You can use ZTO Express to enhance the returns of your portfolios. The stock experiences a large bullish trend. Check odds of ZTO Express to be traded at $25.07 in 90 days.Poor diversification
The correlation between ZTO Express and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ZTO Express and DJI in the same portfolio, assuming nothing else is changed.
ZTO Express Additional Risk Indicators
The analysis of ZTO Express' secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in ZTO Express' investment and either accepting that risk or mitigating it. Along with some common measures of ZTO Express stock's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.1732 | |||
| Market Risk Adjusted Performance | 0.4231 | |||
| Mean Deviation | 1.07 | |||
| Semi Deviation | 0.932 | |||
| Downside Deviation | 1.25 | |||
| Coefficient Of Variation | 436.53 | |||
| Standard Deviation | 1.38 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stocks, we recommend comparing similar stocks with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
ZTO Express Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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 ZTO Express 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. ZTO Express' 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, ZTO Express' 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 ZTO Express.
When determining whether ZTO Express offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of ZTO Express' financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Zto Express Stock. Outlined below are crucial reports that will aid in making a well-informed decision on Zto Express Stock: Check out Your Current Watchlist to better understand how to build diversified portfolios, which includes a position in ZTO Express. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in poverty. To learn how to invest in ZTO Stock, please use our How to Invest in ZTO Express guide.You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Will Air Freight & Logistics sector continue expanding? Could ZTO diversify its offerings? Factors like these will boost the valuation of ZTO Express. Anticipated expansion of ZTO directly elevates investor willingness to pay premium valuations. Accurate valuation requires analyzing both current fundamentals and future growth trajectories. Every ZTO Express data point contributes insight, yet successful analysis hinges on identifying the most consequential variables.
The market value of ZTO Express is measured differently than its book value, which is the value of ZTO that is recorded on the company's balance sheet. Investors also form their own opinion of ZTO Express' value that differs from its market value or its book value, called intrinsic value, which is ZTO Express' true underlying value. Seasoned market participants apply comprehensive analytical frameworks to derive fundamental worth and identify mispriced opportunities. Because ZTO Express' market value can be influenced by many factors that don't directly affect ZTO Express' underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between ZTO Express' value and its price as these two are different measures arrived at by different means. Investors typically determine if ZTO Express is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. Meanwhile, ZTO Express' quoted price indicates the marketplace figure where supply meets demand through bilateral consent.