Guggenheim Mutual Fund Volatility

GIOSX -  USA Fund  

USD 27.28  0.02  0.07%

Guggenheim Macro Opp holds Efficiency (Sharpe) Ratio of -0.0602, which attests that the entity had -0.0602% of return per unit of risk over the last 3 months. Macroaxis standpoint towards determining the risk of any fund is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. Guggenheim Macro Opp exposes twenty-one different technical indicators, which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out Guggenheim Macro risk adjusted performance of (0.14), and Market Risk Adjusted Performance of 2.58 to validate the risk estimate we provide.

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Guggenheim Macro Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Guggenheim daily returns, and it is calculated using variance and standard deviation. We also use Guggenheim's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Guggenheim Macro volatility.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Moves indifferently to market moves

Guggenheim Macro Market Sensitivity And Downside Risk

Guggenheim Macro's beta coefficient measures the volatility of Guggenheim mutual fund compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Guggenheim mutual fund's returns against your selected market. In other words, Guggenheim Macro's beta of -0.0056 provides an investor with an approximation of how much risk Guggenheim Macro mutual fund can potentially add to one of your existing portfolios.
Let's try to break down what Guggenheim's beta means in this case. As returns on the market increase, returns on owning Guggenheim Macro are expected to decrease at a much lower rate. During the bear market, Guggenheim Macro is likely to outperform the market.
3 Months Beta |Analyze Guggenheim Macro Opp Demand Trend
Check current 90 days Guggenheim Macro correlation with market (DOW)

Guggenheim Beta

    
  -0.0056  
Guggenheim standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.0662  
It is essential to understand the difference between upside risk (as represented by Guggenheim Macro's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Guggenheim Macro stock's daily returns or price. Since the actual investment returns on holding a position in Guggenheim Macro stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Guggenheim Macro.

Guggenheim Macro Opp Mutual Fund Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. Guggenheim Macro Opp 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.

Guggenheim Macro Projected Return Density Against Market

Assuming the 90 days horizon Guggenheim Macro Opportunities has a beta of -0.0056 . This usually indicates as returns on benchmark increase, returns on holding Guggenheim Macro are expected to decrease at a much lower rate. During the bear market, however, Guggenheim Macro Opportunities is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Guggenheim Macro or Guggenheim Investments sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Guggenheim Macro stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Guggenheim stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. Guggenheim Macro Opp is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

Guggenheim Macro Mutual Fund Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Guggenheim Macro or Guggenheim Investments sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Guggenheim Macro stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Guggenheim stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Assuming the 90 days horizon the coefficient of variation of Guggenheim Macro is -1662.19. The daily returns are distributed with a variance of 0.0 and standard deviation of 0.07. The mean deviation of Guggenheim Macro Opportunities is currently at 0.05. For similar time horizon, the selected benchmark (DOW) has volatility of 0.69
α
Alpha over DOW
-0.01
β
Beta against DOW-0.0056
σ
Overall volatility
0.07
Ir
Information ratio -0.72

Guggenheim Macro Mutual Fund Return Volatility

Guggenheim Macro historical daily return volatility represents how much Guggenheim Macro stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The fund shows 0.0662% volatility of returns over 90 . By contrast, DOW inherits 0.7149% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Guggenheim Macro Volatility

Volatility is a rate at which the price of Guggenheim Macro or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Guggenheim Macro may increase or decrease. In other words, similar to Guggenheim's beta indicator, it measures the risk of Guggenheim Macro and helps estimate the fluctuations that may happen in a short period of time. So if prices of Guggenheim Macro fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks to provide total return, comprised of current income and capital appreciation. Guggenheim Macro is traded on NASDAQ Exchange in the United States.

Guggenheim Macro Investment Opportunity

DOW has a standard deviation of returns of 0.71 and is 10.14 times more volatile than Guggenheim Macro Opportunities. of all equities and portfolios are less risky than Guggenheim Macro. Compared to the overall equity markets, volatility of historical daily returns of Guggenheim Macro Opportunities is lower than 0 () of all global equities and portfolios over the last 90 days. Use Guggenheim Macro Opportunities to enhance returns of your portfolios. The mutual fund experiences a normal upward fluctuation. Check odds of Guggenheim Macro to be traded at $28.64 in 90 days. . Let's try to break down what Guggenheim's beta means in this case. As returns on the market increase, returns on owning Guggenheim Macro are expected to decrease at a much lower rate. During the bear market, Guggenheim Macro is likely to outperform the market.

Good diversification

The correlation between Guggenheim Macro Opportunities and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Macro Opportunities and DJI in the same portfolio assuming nothing else is changed.

Guggenheim Macro Additional Risk Indicators

The analysis of Guggenheim Macro's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Guggenheim Macro's investment and either accepting that risk or mitigating it. Along with some common measures of Guggenheim Macro stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.14)
Market Risk Adjusted Performance2.58
Mean Deviation0.049
Coefficient Of Variation(1,494)
Standard Deviation0.0659
Variance0.0043
Information Ratio(0.72)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Guggenheim Macro Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Guggenheim Macro as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Guggenheim Macro's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Guggenheim Macro's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Guggenheim Macro Opportunities.
Please check Risk vs Return Analysis. Note that the Guggenheim Macro Opp information on this page should be used as a complementary analysis to other Guggenheim Macro'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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.

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When running Guggenheim Macro Opp price analysis, check to measure Guggenheim Macro's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Guggenheim Macro is operating at the current time. Most of Guggenheim Macro's value examination focuses on studying past and present price action to predict the probability of Guggenheim Macro's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Guggenheim Macro's price. Additionally, you may evaluate how the addition of Guggenheim Macro to your portfolios can decrease your overall portfolio volatility.
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Please note, there is a significant difference between Guggenheim Macro's value and its price as these two are different measures arrived at by different means. Investors typically determine Guggenheim Macro value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Guggenheim Macro's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.