Macroaxis considers Guggenheim Multi-Factor not too risky given 1 month investment horizon. Guggenheim Multi-Factor holds Efficiency (Sharpe) Ratio of 0.559 which attests that Guggenheim Multi-Factor had 0.559% 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.
|Time Horizon||30 Days Login to change|
Guggenheim Multi-Factor Market Sensitivity
|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.One Month Beta |Analyze Guggenheim Multi-Factor Demand TrendCheck current 30 days Guggenheim Multi-Factor correlation with market (DOW)|
β = 0.4441
Guggenheim Multi-Factor Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, Guggenheim Multi-Factor has beta of 0.4441 . This indicates as returns on market go up, Guggenheim Multi-Factor average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Guggenheim Multi-Factor Large Cap will be expected to be much smaller as well. Moreover, Guggenheim Multi-Factor Large Cap has an alpha of 0.1262 implying that it can potentially generate 0.1262% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of Guggenheim Multi-Factor is 178.89. The daily returns are destributed with a variance of 0.4 and standard deviation of 0.64. The mean deviation of Guggenheim Multi-Factor Large Cap is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44