Zacks Market Backtesting

ZMNIX -- USA Fund  

USD 12.92  0.06  0.47%

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

August 27, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 26, 2018
0.00
If you would invest  0.00  in Zacks Market on August 27, 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, Calamos Market, Merger Institutional, AQR Equity, AQR Equity, and Vanguard Market. The investment seeks to generate positive returns in both rising and falling equity markets

Zacks Market Upside/Downside Indicators

Maximum Drawdown1.08
Value At Risk0.46
Potential Upside0.5401
  

Zacks Market Market Premium Indicators

Risk Adjusted Performance0.01

Zacks Market Neutral Backtested Returns

Macroaxis considers Zacks Market to be not too risky. Zacks Market Neutral shows Sharpe Ratio of -0.2426 which attests that Zacks Market Neutral had -0.2426% 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 Mean Deviation of 0.2239 to validate risk estimate we provide. The entity maintains market beta of 0.0 which attests that the returns on MARKET and Zacks Market are completely uncorrelated. 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(0.24) 

Weak reverse predictability

Zacks Market Neutral Institutional has weak reverse predictability. Overlapping area represents the amount of predictability between Zacks Market time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 -0.24 indicates that over 24.0% of current Zacks Market price fluctuation can be explain by its past prices. Given that Zacks Market Neutral Institutional has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Zacks Market for similar time interval.
Correlation Coefficient-0.24
Spearman Rank Test-0.45
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 

Current Sentiment - ZMNIX

Zacks Market Neutral Investor Sentiment

Macroaxis portfolio users are unemotional in their take regarding investing in Zacks Market Neutral Institutional. What is your take regarding investing in Zacks Market Neutral Institutional? Are you bullish or bearish?
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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 Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
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