Zacks Market Backtesting

ZMNIX -- USA Fund  

USD 12.53  0.03  0.24%

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

Zacks Market 'What if' Analysis

May 25, 2019
No Change 0.00  0.0%
In 2 months and 1 day
July 24, 2019
If you would invest  0.00  in Zacks Market on May 25, 2019 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 60 days. Zacks Market is related to or competes with Vanguard Market, Vanguard Market, Nuveen Equity, Nuveen Equity, Vivaldi Merger, JPMorgan Research, and Federated Absolute. The investment seeks to generate positive returns in both rising and falling equity markets

Zacks Market Upside/Downside Indicators

Information Ratio(0.45)
Maximum Drawdown1.28
Value At Risk(0.63)
Potential Upside0.4026

Zacks Market Market Premium Indicators

Risk Adjusted Performance(0.029646)
Jensen Alpha(0.003517)
Total Risk Alpha(0.07)
Treynor Ratio0.1453

Zacks Market Neutral Backtested Returns

We consider Zacks Market very steady. Zacks Market Neutral shows Sharpe Ratio of 0.0286 which attests that the fund had 0.0286% of return per unit of risk over the last 2 months. Our philosophy towards determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Zacks Market Neutral which you can use to evaluate future volatility of the fund. Please check out Zacks Market Neutral Market Risk Adjusted Performance of 0.1553 and Mean Deviation of 0.2177 to validate if risk estimate we provide are consistent with the epected return of 0.0082%. The entity maintains market beta of -0.1279 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. Although it is extremely important to respect Zacks Market Neutral historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By examining Zacks Market Neutral technical indicators you can presently evaluate if the expected return of 0.0082% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.81) 
correlation synergy

Excellent reverse predictability

Zacks Market Neutral Institutional has excellent reverse predictability. Overlapping area represents the amount of predictability between Zacks Market time series from May 25, 2019 to June 24, 2019 and June 24, 2019 to July 24, 2019. 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 -0.81 indicates that around 81.0% 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-0.81
Spearman Rank Test-0.18
Residual Average0.0
Price Variance0.01

Zacks Market Neutral lagged returns against current returns

 Current and Lagged Values 

Zacks Market regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Zacks Market Lagged Returns

 Regressed Prices 

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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 Headlines Timeline module to stay connected to all market stories and filter out noise. drill down to analyze hype elasticity.