Zacks Market Risk Analysis And Volatility Evaluation

ZMNIX -- USA Fund  

USD 12.91  0.06  0.46%

We consider Zacks Market not too risky. Zacks Market Neutral shows Sharpe Ratio of 0.0021 which attests that Zacks Market Neutral had 0.0021% of return per unit of risk over the last 1 month. 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 15.14, Mean Deviation of 0.3441 and Downside Deviation of 0.5459 to validate if risk estimate we provide are consistent with the epected return of 9.0E-4%.
Horizon     30 Days    Login   to change

Zacks Market Market Sensitivity

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.
One Month Beta |Analyze Zacks Market Neutral Demand Trend
Check current 30 days Zacks Market correlation with market (DOW)
β = -6.0E-4

Zacks Market Central Daily Price Deviation

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 Neutral Institutional has beta of -6.0E-4 . This means as returns on benchmark increase, returns on holding Zacks Market are expected to decrease at a much smaller rate. During bear market, however, Zacks Market Neutral Institutional is likely to outperform the market. 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 48112.29. The daily returns are destributed with a variance of 0.19 and standard deviation of 0.44. The mean deviation of Zacks Market Neutral Institutional is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 1.24
α
Alpha over DOW
=0.0091
β
Beta against DOW=0.0006
σ
Overall volatility
=0.44
Ir
Information ratio =0.16

Zacks Market Return Volatility

Zacks Market Neutral Institutional shows 0.4396% volatility of returns over 30 trading days. DOW inherits 1.2951% 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

Moves indifferently to market move

Investment Outlook

Zacks Market Investment Opportunity

DOW has a standard deviation of returns of 1.3 and is 2.95 times more volatile than Zacks Market Neutral Institutional. 3% 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 3 (%) of all global equities and portfolios over the last 30 days.

Zacks Market Volatility Indicators

Zacks Market Neutral Institutional Current Risk Indicators

See also Your Current Watchlist. Please also try Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.
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