Guggenheim Long Short Fund Market Value
| RYSRX Fund | USD 22.45 0.03 0.13% |
| Symbol | Guggenheim |
Guggenheim Long 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Guggenheim Long's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Guggenheim Long.
| 10/21/2023 |
| 04/18/2024 |
If you would invest 0.00 in Guggenheim Long on October 21, 2023 and sell it all today you would earn a total of 0.00 from holding Guggenheim Long Short or generate 0.0% return on investment in Guggenheim Long over 180 days. Guggenheim Long is related to or competes with Qs International, Materials Portfolio, JPMorgan Chase, Procter Gamble, Microsoft, and American Express. The fund pursues its objective by investing, under normal market conditions, at least 80 percent of its assets in long a... More
Guggenheim Long Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Guggenheim Long's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Guggenheim Long Short upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5538 | |||
| Information Ratio | 0.0967 | |||
| Maximum Drawdown | 2.55 | |||
| Value At Risk | (0.73) | |||
| Potential Upside | 0.8057 |
Guggenheim Long Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Guggenheim Long's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Guggenheim Long's standard deviation. In reality, there are many statistical measures that can use Guggenheim Long historical prices to predict the future Guggenheim Long's volatility.| Risk Adjusted Performance | 0.1282 | |||
| Jensen Alpha | 0.0765 | |||
| Total Risk Alpha | 0.0578 | |||
| Sortino Ratio | 0.0874 | |||
| Treynor Ratio | 0.2452 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Guggenheim Long's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Guggenheim Long Short Backtested Returns
We consider Guggenheim Long very steady. Guggenheim Long Short holds Efficiency (Sharpe) Ratio of 0.15, which attests that the entity had a 0.15% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Guggenheim Long Short, which you can use to evaluate the volatility of the entity. Please check out Guggenheim Long's Risk Adjusted Performance of 0.1282, downside deviation of 0.5538, and Market Risk Adjusted Performance of 0.2552 to validate if the risk estimate we provide is consistent with the expected return of 0.075%. The fund retains a Market Volatility (i.e., Beta) of 0.38, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Guggenheim Long's returns are expected to increase less than the market. However, during the bear market, the loss of holding Guggenheim Long is expected to be smaller as well.
Auto-correlation | 0.66 |
Good predictability
Guggenheim Long Short has good predictability. Overlapping area represents the amount of predictability between Guggenheim Long time series from 21st of October 2023 to 19th of January 2024 and 19th of January 2024 to 18th of April 2024. 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 Long Short price movement. The serial correlation of 0.66 indicates that around 66.0% of current Guggenheim Long price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
Guggenheim Long Short lagged returns against current returns
Autocorrelation, which is Guggenheim Long mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Guggenheim Long's mutual fund expected returns. We can calculate the autocorrelation of Guggenheim Long returns to help us make a trade decision. For example, suppose you find that Guggenheim Long has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
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Guggenheim Long regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Guggenheim Long mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Guggenheim Long mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Guggenheim Long mutual fund over time.
Current vs Lagged Prices |
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Guggenheim Long Lagged Returns
When evaluating Guggenheim Long's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Guggenheim Long mutual fund have on its future price. Guggenheim Long autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Guggenheim Long autocorrelation shows the relationship between Guggenheim Long mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Guggenheim Long Short.
Regressed Prices |
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Currently Active Assets on Macroaxis
Check out Guggenheim Long Correlation, Guggenheim Long Volatility and Guggenheim Long Alpha and Beta module to complement your research on Guggenheim Long. You can also try the Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
Guggenheim Long technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.