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Zimmer Biomet Holdings, Inc.(ZBH)
NYSE
$105.59
-1.26 (-1.18%)

Zimmer Biomet Holdings, Inc.(ZBH)Risk Analysis & Market Sentiment
NYSE

Risk Analysis & Market Sentiment

Comprehensive risk, liquidity, and regime view for ZBH

Data Quality: 78.92/100

ZBH risk snapshot

  • Volatility: With 56.28% annualized volatility, a typical daily move (one standard deviation) is about 3.5%.
  • Downside risk: On about 1 trading day in 20, the loss is estimated to be larger than 2.48% (95% VaR).
  • Liquidity: Liquidity risk is High (liquidity score 29.5 out of 100). A low liquidity score means larger orders can move the price more.
95% VaR
-2.48%
30d Vol
56.28%
Max DD
-25.54%
Liquidity
29.5
Time horizon:

Position Risk Calculator

Estimate potential losses for a specific position size and holding period using VaR, CVaR, and historical drawdowns.

$
95% VaR
over horizon
$248
(-2.5%)
95% CVaR
bad tail days
$424
(-4.2%)
Max Drawdown
historical worst case
$2554
(-25.5%)

Risk Analysis

Value at Risk, risk-adjusted returns, and volatility measures

Confidence
78.92%

Return Distribution (Loss vs Gain)

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On 25 of 63 trading days (40%), ZBH moved less than 1% up or down.

Volatility Structure (Trend vs Mean)

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Recent volatility (20 sessions, about 30 calendar days) is 56.3%, above its average of 30.6% for this chart's period.

Tail & Distribution Risk (Shock Probability)

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Fat Tail (<-2%)
Fat Tail (>2%)

Over the last 63 trading days, 9 days fell more than 2% and 8 days rose more than 2%.

Drawdown Analytics (Depth of Loss)

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Over the 64 sessions shown here, the worst drawdown reached -12.9%. The current drawdown is -4.1%.

Value at Risk (VaR)
Conf: 75.00%

95% VaR
-2.48%
99% VaR
-3.79%
95% CVaR
-4.24%
99% CVaR
-8.82%
VaR Methodology
Method: Historical Simulation (Percentile)Sample Size: 36695% tail prob.: 5%99% tail prob.: 1%Period: 366dModel: Daily
CVaR Methodology
Method: Average of tail losses (Historical - Conditional)Tail 95%: 19Tail 99%: 4

Performance RatiosConf: 75.00%

Sharpe
0.35
Sortino
0.46
Ratio Methodology
Sharpe Period: 366dSortino Period: 366dRf Rate: 4.00%Daily Rf: 0.00016Source: ^IRX (13-week T-bill)Ann. Factor: 15.8745Downside: Only negative excess returns

Volatility & Drawdown
Conf: 75.00%

30d Annual Vol
56.28%
Hist. Annual Vol
32.48%
Max Drawdown
-25.54%
Vol/DD Methodology
30d Method: Log Returns Std Dev * sqrt(252) - 20 sessions (~30 calendar days)30d Sample: 20dAnn. Factor: 15.8745Hist Method: Std Dev * sqrt(252)Hist Sample: 366dDD Period: 367dTrading Days: 252

Market & Distribution

Beta
0.41
Correlation
0.16
Skewness
-0.50
Kurtosis
14.39
Distrib Methodology
Beta Bench: S&P 500Beta Period: 366dCorr Bench: S&P 500Corr Period: 366dSkew Period: 366dKurt Period: 366dSkew Interpret: Negative = left tail risk

Liquidity Profile
Conf: 81.15%

29.5
Liquidity Score
Illiquidity Risk
High
Trading Volume (points)13.20
Market Cap (points)1.40
Liquidity Methodology
Method: Hasbrouck Modified Volume Model (2009)Period: 90dActual Sample: 65dVol Wgt: 60Vol Bench: 10000000Mcap Wgt: 15Est. Stability: 25Stability Metric: Volume Coefficient of VariationFreshness: Daily (updated with market close)Sufficient Data: Yes

Bankruptcy Risk
Conf: 90.00%

1.88
Altman Z-Score
Zone
Grey

Component Ratios

Work. Cap / Assets0.07
Ret. Earn / Assets0.51
EBIT / Assets0.01
Mkt Val / Liab1.57
Sales / Assets0.09
Altman Methodology
Calculation: Altman Z-Score (1968)Period: quarterlySource: SEC EDGAR via yfinanceFiling: 10-QData Age: 38dCoeffs: A=1.2, B=1.4, C=3.3, D=0.6, E=1Completeness: 100%Imputed: No

Market Regime

Risk ProfileN/A
Regime Data CoverageN/A

Analyst & Forecast Scenarios

Price targets from analyst estimates and forecast models - shown for educational reference only.

NOT FINANCIAL ADVICE: These scenarios reflect third-party analyst targets and forecast model outputs. They are provided for educational purposes only and should not be used as the sole basis for investment decisions. Past performance and forecasts do not guarantee future results.
Optimistic Scenario
Source: Analyst High / Forecast Max
Price Target$130.00
Potential Change+23.1%
Base Scenario
Source: Analyst Mean / 1Y Forecast
Price Target$106.90
Potential Change+1.2%
Pessimistic Scenario
Source: Analyst Low / Forecast Min
Price Target$93.00
Potential Change-11.9%
Data Sources & Methodology:
  • Optimistic: Based on analyst high target prices and maximum forecast values from monthly projections
  • Base: Uses analyst consensus (mean) target or 1-year forecast from predictive models
  • Pessimistic: Derived from analyst low targets and minimum forecast values
  • These are third-party estimates and model outputs, not guarantees. Actual prices may differ significantly.

📊 Beta Comparison

Stock Beta

0.41

Market (S&P 500)

1.00

Much less sensitive than the market
-59% vs benchmark

What This Means

Beta 0.41: the stock has moved much less than the market. On average, its moves have been about 59% smaller than the market's.

When the Market (S&P 500) has moved 10%, this stock has moved about 4.1% on average, in the same direction.

📈 Volatility in Recent Context

Current

56.3%

Percentile

100th

Avg

30.6%

Min: 24.7%over the last 44 trading daysMax: 56.3%
Top fifth of the range

What This Means

Current volatility of 56.3% is at the 100th percentile of its daily readings over the last 44 trading days (range 24.7% to 56.3%). It is above the period average of 30.6%.

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Insider Activity Tracker

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Earnings Calendar

Track upcoming and historical corporate earnings reports.

Market Insights & Research

Read the latest analysis articles and expert research.

Risk Disclaimer: All risk metrics and sentiment indicators are based on historical data and should not be considered as investment advice. Risk measures may not predict future performance, and sentiment can change rapidly. Please consult with a financial advisor before making investment decisions.
Calculated: 11/7/2026, 5:42:23 AM
ver: 1 | method: RiskAnalyzer.comprehensive_risk_profile_with_metadata

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