Zacks Market Risk Analysis And Volatility Evaluation

ZMNIX -- USA Fund  

USD 12.85  0.01  0.08%

Macroaxis considers Zacks Market to be not too risky. Zacks Market Neutral shows Sharpe Ratio of -0.2176 which attests that Zacks Market Neutral had -0.2176% 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 0.44 and Mean Deviation of 0.2092 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

Zacks Market Market Sensitivity

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.
One Month Beta |Analyze Zacks Market Neutral Demand Trend
Check current 30 days Zacks Market correlation with market (DOW)
β = 0.1706
Zacks Market Small BetaZacks Market Neutral Beta Legend

Zacks Market Neutral Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Zacks Market Neutral Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Zacks Market Projected Return Density Against Market

Assuming 30 trading days horizon, Zacks Market has beta of 0.1706 . This means as returns on market go up, Zacks Market average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Zacks Market Neutral Institutional will be expected to be much smaller as well. Additionally, Zacks Market Neutral Institutional has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Zacks Market is -459.53. The daily returns are destributed with a variance of 0.08 and standard deviation of 0.29. The mean deviation of Zacks Market Neutral Institutional is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.09
β
Beta against DOW=0.17
σ
Overall volatility
=0.29
Ir
Information ratio =0.6

Zacks Market Return Volatility

Zacks Market Neutral Institutional shows 0.2855% volatility of returns over 30 trading days. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Zacks Market Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Zacks Market Investment Opportunity

DOW has a standard deviation of returns of 0.39 and is 1.34 times more volatile than Zacks Market Neutral Institutional. 2% of all equities and portfolios are less risky than Zacks Market. Compared to the overall equity markets, volatility of historical daily returns of Zacks Market Neutral Institutional is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use Zacks Market Neutral Institutional to protect against small markets fluctuations. The fund experiences normal downward trend and little activity. Check odds of Zacks Market to be traded at $12.72 in 30 days. 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.

Zacks Market correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Zacks Market Neutral Instituti and equity matching DJI index in the same portfolio.

Zacks Market Volatility Indicators

Zacks Market Neutral Institutional Current Risk Indicators

See also Your Current Watchlist. Please also try Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.
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