Guggenheim Alpha Opportunity Fund Market Value
| SAOSX Fund | USD 21.52 0.07 0.33% |
| Symbol | Guggenheim |
Guggenheim Alpha '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 Alpha'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 Alpha.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in Guggenheim Alpha on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding Guggenheim Alpha Opportunity or generate 0.0% return on investment in Guggenheim Alpha over 720 days. Guggenheim Alpha is related to or competes with Guggenheim Styleplus, Guggenheim World, Guggenheim Investment, and Guggenheim Large. The fund pursues its objective by investing, under normal market conditions, in long and short positions of domestic equ... More
Guggenheim Alpha 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 Alpha'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 Alpha Opportunity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.425 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.25 | |||
| Value At Risk | (0.68) | |||
| Potential Upside | 0.7641 |
Guggenheim Alpha Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Guggenheim Alpha's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Guggenheim Alpha's standard deviation. In reality, there are many statistical measures that can use Guggenheim Alpha historical prices to predict the future Guggenheim Alpha's volatility.| Risk Adjusted Performance | 0.1043 | |||
| Jensen Alpha | 0.0598 | |||
| Total Risk Alpha | 0.0109 | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.6375 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Guggenheim Alpha'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 Alpha Opp Backtested Returns
We consider Guggenheim Alpha very steady. Guggenheim Alpha Opp holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Guggenheim Alpha Opp, which you can use to evaluate the volatility of the entity. Please check out Guggenheim Alpha's Downside Deviation of 0.425, market risk adjusted performance of 0.6475, and Risk Adjusted Performance of 0.1043 to validate if the risk estimate we provide is consistent with the expected return of 0.073%. The fund retains a Market Volatility (i.e., Beta) of 0.11, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Guggenheim Alpha's returns are expected to increase less than the market. However, during the bear market, the loss of holding Guggenheim Alpha is expected to be smaller as well.
Auto-correlation | 0.17 |
Very weak predictability
Guggenheim Alpha Opportunity has very weak predictability. Overlapping area represents the amount of predictability between Guggenheim Alpha time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd 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 Alpha Opp price movement. The serial correlation of 0.17 indicates that over 17.0% of current Guggenheim Alpha price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.99 |
Guggenheim Alpha Opp lagged returns against current returns
Autocorrelation, which is Guggenheim Alpha 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 Alpha's mutual fund expected returns. We can calculate the autocorrelation of Guggenheim Alpha returns to help us make a trade decision. For example, suppose you find that Guggenheim Alpha 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 Alpha 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 Alpha mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Guggenheim Alpha 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 Alpha mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Guggenheim Alpha Lagged Returns
When evaluating Guggenheim Alpha's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Guggenheim Alpha mutual fund have on its future price. Guggenheim Alpha 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 Alpha autocorrelation shows the relationship between Guggenheim Alpha mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Guggenheim Alpha Opportunity.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Guggenheim Alpha Correlation, Guggenheim Alpha Volatility and Guggenheim Alpha Alpha and Beta module to complement your research on Guggenheim Alpha. You can also try the Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Guggenheim Alpha 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.