Correlation Between Guggenheim Directional and Guggenheim Macro
Can any of the company-specific risk be diversified away by investing in both Guggenheim Directional and Guggenheim Macro at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Guggenheim Directional and Guggenheim Macro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Guggenheim Directional Allocation and Guggenheim Macro Opportunities, you can compare the effects of market volatilities on Guggenheim Directional and Guggenheim Macro and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Guggenheim Directional with a short position of Guggenheim Macro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Guggenheim Directional and Guggenheim Macro.
Diversification Opportunities for Guggenheim Directional and Guggenheim Macro
0.7 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Guggenheim and Guggenheim is 0.7. Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Directional Allocat and Guggenheim Macro Opportunities in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Guggenheim Macro Opp and Guggenheim Directional is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Guggenheim Directional Allocation are associated (or correlated) with Guggenheim Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Guggenheim Macro Opp has no effect on the direction of Guggenheim Directional i.e., Guggenheim Directional and Guggenheim Macro go up and down completely randomly.
Pair Corralation between Guggenheim Directional and Guggenheim Macro
Assuming the 90 days horizon Guggenheim Directional Allocation is expected to generate 5.71 times more return on investment than Guggenheim Macro. However, Guggenheim Directional is 5.71 times more volatile than Guggenheim Macro Opportunities. It trades about 0.12 of its potential returns per unit of risk. Guggenheim Macro Opportunities is currently generating about 0.25 per unit of risk. If you would invest 1,737 in Guggenheim Directional Allocation on September 1, 2024 and sell it today you would earn a total of 320.00 from holding Guggenheim Directional Allocation or generate 18.42% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Guggenheim Directional Allocat vs. Guggenheim Macro Opportunities
Performance |
| Timeline |
| Guggenheim Directional |
| Guggenheim Macro Opp |
Guggenheim Directional and Guggenheim Macro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Guggenheim Directional and Guggenheim Macro
The main advantage of trading using opposite Guggenheim Directional and Guggenheim Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Guggenheim Directional position performs unexpectedly, Guggenheim Macro can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Guggenheim Macro will offset losses from the drop in Guggenheim Macro's long position.| Guggenheim Directional vs. Jpmorgan Equity Income | Guggenheim Directional vs. Scharf Fund Retail | Guggenheim Directional vs. Small Cap Equity | Guggenheim Directional vs. Us Strategic Equity |
| Guggenheim Macro vs. Guggenheim Total Return | Guggenheim Macro vs. Guggenheim Floating Rate | Guggenheim Macro vs. Jpmorgan Strategic Income | Guggenheim Macro vs. Guggenheim Macro Opportunities |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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