Guggenheim Multi-Factor Backtesting

Guggenheim Multi-Factor Large Cap -- USA Etf  

USD 28.38  0.29  1.03%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Guggenheim Multi-Factor Large Cap and determine expected loss or profit from investing in Guggenheim Multi-Factor over given investment horizon. Please also check Guggenheim Multi-Factor Hype Analysis, Guggenheim Multi-Factor Correlation, Portfolio Optimization, Guggenheim Multi-Factor Volatility as well as analyze Guggenheim Multi-Factor Alpha and Beta and Guggenheim Multi-Factor Performance
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

Guggenheim Multi-Factor 'What if' Analysis

December 21, 2017
0.00
No Change 0.00  0.0%
In 31 days
January 20, 2018
0.00
If you would invest  0.00  in Guggenheim Multi-Factor on December 21, 2017 and sell it all today you would earn a total of 0.00 from holding Guggenheim Multi-Factor Large Cap or generate 0.0% return on investment in Guggenheim Multi-Factor over 30 days. Guggenheim Multi-Factor is related to or competes with Vanguard Total, SPDR SP, iShares Core, Vanguard Dividend, iShares Russell, and Vanguard Large. The investment seeks to replicate as closely as possible, before fees and expenses, the daily performance of the Guggenh...

Guggenheim Multi-Factor Upside/Downside Indicators

  

Guggenheim Multi-Factor Market Premium Indicators

Guggenheim Multi-Factor lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Guggenheim Multi-Factor regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Guggenheim Multi-Factor Backtested Returns

Macroaxis considers Guggenheim Multi-Factor not too risky given 1 month investment horizon. Guggenheim Multi-Factor holds Efficiency (Sharpe) Ratio of 0.463 which attests that Guggenheim Multi-Factor had 0.463% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Guggenheim Multi-Factor which you can use to evaluate future volatility of the entity. Please utilize Guggenheim Multi-Factor Market Risk Adjusted Performance of 0.5141 and Risk Adjusted Performance of 0.1701 to validate if our risk estimates are consistent with your expectations. The etf retains Market Volatility (i.e. Beta) of 0.4441 which attests that as returns on market increase, Guggenheim Multi-Factor returns are expected to increase less than the market. However during bear market, the loss on holding Guggenheim Multi-Factor will be expected to be smaller as well.. Although it is vital to follow to Guggenheim Multi-Factor current price history, it is good to be conservative about what you can actually do with the information regarding equity current price movements. The philosophy towards determining future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating Guggenheim Multi-Factor technical indicators you can presently evaluate if the expected return of 0.3002% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.18 

Very weak predictability

Guggenheim Multi-Factor Large Cap has very weak predictability. Overlapping area represents the amount of predictability between Guggenheim Multi-Factor time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Guggenheim Multi-Factor price movement. The serial correlation of 0.18 indicates that over 18.0% of current Guggenheim Multi-Factor price fluctuation can be explain by its past prices.
Correlation Coefficient 0.18
Spearman Rank Test -0.04
Price Variance 0.08
Average Price 28.11

Guggenheim Multi-Factor Lagged Returns

 Regressed Prices 
      Timeline 

Guggenheim Multi-Factor Performance vs DOW

The median price of Guggenheim Multi-Factor for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 27.1 with a coefficient of variation of 2.04. The daily time series for the period is distributed with a sample standard deviation of 0.56, arithmetic mean of 27.36, and mean deviation of 0.48. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline