Zacks Market Backtesting

ZMNVX -- USA Fund  

USD 13.30  0.01  0.08%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Zacks Market Neutral Fund Class 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

June 21, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 19, 2019
0.00
If you would invest  0.00  in Zacks Market on June 21, 2019 and sell it all today you would earn a total of 0.00 from holding Zacks Market Neutral Fund Class or generate 0.0% return on investment in Zacks Market over 90 days. Zacks Market is related to or competes with BlackRock Large, Merger Fund, Merger Fund, Arbitrage Fund, Arbitrage Fund, BlackRock Global, and BlackRock Global. The investment seeks to generate positive returns in both rising and falling equity markets

Zacks Market Upside/Downside Indicators

Information Ratio(0.21)
Maximum Drawdown1.36
Value At Risk(0.45)
Potential Upside0.3797

Zacks Market Market Premium Indicators

Risk Adjusted Performance(0.07)
Jensen Alpha(0.024192)
Total Risk Alpha(0.030499)
Treynor Ratio(0.32)

Zacks Market Neutral Backtested Returns

Macroaxis considers Zacks Market to be very steady. Zacks Market Neutral shows Sharpe Ratio of -0.0035 which attests that the fund had -0.0035% of return per unit of risk over the last 3 months. 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 (0.31) and Mean Deviation of 0.1885 to validate risk estimate we provide. The entity maintains market beta of 0.0685 which attests that as returns on market increase, Zacks Market returns are expected to increase less than the market. However during bear market, the loss on holding Zacks Market will be expected to be smaller as well. 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(0.02) 
correlation synergy

Very weak reverse predictability

Zacks Market Neutral Fund Class has very weak reverse predictability. Overlapping area represents the amount of predictability between Zacks Market time series from June 21, 2019 to August 5, 2019 and August 5, 2019 to September 19, 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 -0.02 indicates that only 2.0% of current Zacks Market price fluctuation can be explain by its past prices. Given that Zacks Market Neutral Fund Class 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-0.02
Spearman Rank Test-0.44
Residual Average0.0
Price Variance0.01

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 - ZMNVX

Zacks Market Neutral Investor Sentiment

Macroaxis portfolio users are unemotional in their take regarding investing in Zacks Market Neutral Fund Class. What is your take regarding investing in Zacks Market Neutral Fund Class? Are you bullish or bearish?
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Bearish
50% Bullish
50% 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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
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