Guggenheim Multi-Factor Risk Analysis

Guggenheim Multi-Factor Large Cap -- USA Etf  

USD 28.38  0.29  1.03%

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 Trend
Check current 30 days Guggenheim Multi-Factor correlation with market (DOW)
β = 0.4441
Guggenheim Multi-Factor Small BetaGuggenheim Multi-Factor Beta Legend

Guggenheim Multi-Factor Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Guggenheim Multi-Factor 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.

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.13
β
Beta against DOW=0.44
σ
Overall volatility
=0.64
Ir
Information ratio =0.0064

Actual Return Volatility

Guggenheim Multi-Factor Large Cap inherits 0.6356% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4559% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Guggenheim Multi-Factor Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Slowly supersedes market

Largest Trends

Guggenheim Multi-Factor Largest Period Trend

Investment Outlook

Guggenheim Multi-Factor Investment Opportunity
Guggenheim Multi-Factor Large Cap has a volatility of 0.64 and is 1.39 times more volatile than DOW. 5% of all equities and portfolios are less risky than Guggenheim Multi-Factor. Compared to the overall equity markets, volatility of historical daily returns of Guggenheim Multi-Factor Large Cap is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use Guggenheim Multi-Factor Large Cap to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of Guggenheim Multi-Factor to be traded at $31.22 in 30 days. 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.

Guggenheim Multi-Factor correlation with market

Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Multi-Factor Large and equity matching DJI index in the same portfolio.

Volatility Indicators

Guggenheim Multi-Factor Current Risk Indicators