Zacks Market Backtesting

ZMNIX -- USA Fund  

USD 12.99  0.06  0.46%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Zacks Market Neutral Institutional and determine expected loss or profit from investing in Zacks Market over given investment horizon. See also Zacks Market Hype Analysis, Zacks Market Correlation, Portfolio Optimization, Zacks Market Volatility as well as analyze Zacks Market Alpha and Beta and Zacks Market Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Zacks Market 'What if' Analysis

October 13, 2018
0.00
No Change 0.00  0.0%
In 31 days
November 12, 2018
0.00
If you would invest  0.00  in Zacks Market on October 13, 2018 and sell it all today you would earn a total of 0.00 from holding Zacks Market Neutral Institutional or generate 0.0% return on investment in Zacks Market over 30 days. Zacks Market is related to or competes with Calamos Market, Calamos Market, Merger Institutional, Arbitrage, Arbitrage, Arbitrage, and Vanguard Market. The investment seeks to generate positive returns in both rising and falling equity markets

Zacks Market Upside/Downside Indicators

Information Ratio0.43
Maximum Drawdown1.62
Value At Risk0.62
Potential Upside0.4651
  

Zacks Market Market Premium Indicators

Risk Adjusted Performance0.025366
Jensen Alpha0.0111
Total Risk Alpha0.07
Treynor Ratio0.0872

Zacks Market Neutral Backtested Returns

Macroaxis considers Zacks Market to be not too risky. Zacks Market Neutral shows Sharpe Ratio of -0.0074 which attests that Zacks Market Neutral had -0.0074% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Zacks Market Neutral exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Zacks Market Neutral Market Risk Adjusted Performance of 0.0972 and Mean Deviation of 0.3134 to validate risk estimate we provide. The entity maintains market beta of -0.1456 which attests that as returns on market increase, returns on owning Zacks Market are expected to decrease at a much smaller rate. During bear market, Zacks Market is likely to outperform the market.. Even though it is essential to pay attention to Zacks Market Neutral historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Zacks Market Neutral exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.49 
correlation synergy

Average predictability

Zacks Market Neutral Institutional has average predictability. Overlapping area represents the amount of predictability between Zacks Market time series from October 13, 2018 to October 28, 2018 and October 28, 2018 to November 12, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Zacks Market Neutral price movement. The serial correlation of 0.49 indicates that about 49.0% of current Zacks Market price fluctuation can be explain by its past prices.
Correlation Coefficient0.49
Spearman Rank Test0.48
Residual Average0.0
Price Variance0.0

Zacks Market Neutral lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Zacks Market regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Zacks Market Lagged Returns

 Regressed Prices 
      Timeline 

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Positions Ratings

Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance
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See also Zacks Market Hype Analysis, Zacks Market Correlation, Portfolio Optimization, Zacks Market Volatility as well as analyze Zacks Market Alpha and Beta and Zacks Market Performance. Please also try CEO Directory module to screen ceos from public companies around the world.
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