Zacks Market Risk Analysis And Volatility

ZMNIX -- USA Fund  

USD 12.77  0.04  0.31%

We consider Zacks Market not too risky. Zacks Market Neutral shows Sharpe Ratio of 0.0558 which attests that the fund had 0.0558% 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 Mean Deviation of 0.1949, Downside Deviation of 0.2377 and Market Risk Adjusted Performance of 3.73 to validate if risk estimate we provide are consistent with the epected return of 0.0134%.
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.
2 Months Beta |Analyze Zacks Market Neutral Demand Trend
Check current 30 days Zacks Market correlation with market (DOW)
β = 0.0022

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 thirty-nine. 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 0.0022 . 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. Moreover, The company has an alpha of 0.008 implying that it can potentially generate 0.008% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Zacks Market is 1792.03. The daily returns are destributed with a variance of 0.06 and standard deviation of 0.24. The mean deviation of Zacks Market Neutral Institutional is currently at 0.18. For similar time horizon, the selected benchmark (DOW) has volatility of 1.79
α
Alpha over DOW
=0.008
β
Beta against DOW=0.0022
σ
Overall volatility
=0.24
Ir
Information ratio =0.25

Zacks Market Return Volatility

the fund shows 0.2396% volatility of returns over 30 trading days. the entity inherits 1.9% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Zacks Market Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Zacks Market Investment Opportunity

DOW has a standard deviation of returns of 1.9 and is 7.92 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 enhance returns of your portfolios. The fund experiences normal upward fluctuation. Check odds of Zacks Market to be traded at $13.41 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

correlation synergy
Significant 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 Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.
Search macroaxis.com