Guggenheim Managed Futures Fund Market Value
| RYIFX Fund | USD 22.79 0.06 0.26% |
| Symbol | Guggenheim |
Guggenheim Managed '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 Managed'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 Managed.
| 10/27/2023 |
| 04/24/2024 |
If you would invest 0.00 in Guggenheim Managed on October 27, 2023 and sell it all today you would earn a total of 0.00 from holding Guggenheim Managed Futures or generate 0.0% return on investment in Guggenheim Managed over 180 days. Guggenheim Managed is related to or competes with Morningstar Unconstrained, High Yield, Thrivent High, Via Renewables, Bondbloxx ETF, and Knife River. The advisor intends to invest in multiple proprietary and third-party investment strategies that seek to identify and pr... More
Guggenheim Managed 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 Managed'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 Managed Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.619 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.09 | |||
| Value At Risk | (1.03) | |||
| Potential Upside | 1.1 |
Guggenheim Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Guggenheim Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Guggenheim Managed's standard deviation. In reality, there are many statistical measures that can use Guggenheim Managed historical prices to predict the future Guggenheim Managed's volatility.| Risk Adjusted Performance | 0.0573 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0637 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Guggenheim Managed'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 Managed Backtested Returns
We consider Guggenheim Managed very steady. Guggenheim Managed holds Efficiency (Sharpe) Ratio of 0.0699, which attests that the entity had a 0.0699% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Guggenheim Managed, which you can use to evaluate the volatility of the entity. Please check out Guggenheim Managed's Downside Deviation of 0.619, market risk adjusted performance of 0.0737, and Risk Adjusted Performance of 0.0573 to validate if the risk estimate we provide is consistent with the expected return of 0.0459%. The fund retains a Market Volatility (i.e., Beta) of 0.77, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Guggenheim Managed's returns are expected to increase less than the market. However, during the bear market, the loss of holding Guggenheim Managed is expected to be smaller as well.
Auto-correlation | -0.22 |
Weak reverse predictability
Guggenheim Managed Futures has weak reverse predictability. Overlapping area represents the amount of predictability between Guggenheim Managed time series from 27th of October 2023 to 25th of January 2024 and 25th of January 2024 to 24th 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 Managed price movement. The serial correlation of -0.22 indicates that over 22.0% of current Guggenheim Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Guggenheim Managed lagged returns against current returns
Autocorrelation, which is Guggenheim Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Guggenheim Managed returns to help us make a trade decision. For example, suppose you find that Guggenheim Managed 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 |
| Timeline |
Guggenheim Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Guggenheim Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Guggenheim Managed Lagged Returns
When evaluating Guggenheim Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Guggenheim Managed mutual fund have on its future price. Guggenheim Managed 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 Managed autocorrelation shows the relationship between Guggenheim Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Guggenheim Managed Futures.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Guggenheim Managed Correlation, Guggenheim Managed Volatility and Guggenheim Managed Alpha and Beta module to complement your research on Guggenheim Managed. Note that the Guggenheim Managed information on this page should be used as a complementary analysis to other Guggenheim Managed's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Guggenheim Managed 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.