Guggenheim Market Correlations

GUMPX Fund

USD 26.36 0.03 0.11%

The current 90-days correlation between Guggenheim Market Neutral and Guggenheim Market Neutral is 0.97 (i.e., Almost no diversification). The correlation of Guggenheim Market is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Guggenheim Market Correlation With Market

Good diversification

The correlation between Guggenheim Market Neutral and DJI is -0.01 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Guggenheim Market Neutral and DJI in the same portfolio, assuming nothing else is changed.

Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in Guggenheim Market Neutral. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in american community survey.

Moving together with Guggenheim Mutual Fund

0.91	TVRCX	Guggenheim Directional	Pair Corr
0.91	TVRAX	Guggenheim Directional	Pair Corr
0.91	TVRIX	Guggenheim Directional	Pair Corr
0.76	TVVFX	Guggenheim Rbp Large	Pair Corr
0.76	TVVCX	Guggenheim Rbp Large	Pair Corr
0.76	TVVAX	Guggenheim Rbp Large	Pair Corr
0.77	TVVIX	Guggenheim Rbp Large	Pair Corr
1.0	GUMAX	Guggenheim Market Neutral	Pair Corr
1.0	GUMCX	Guggenheim Market Neutral	Pair Corr
1.0	GUMNX	Guggenheim Market Neutral	Pair Corr
0.75	SAOIX	Guggenheim Alpha Opp	Pair Corr
0.76	SAOSX	Guggenheim Alpha Opp	Pair Corr
0.74	SAOAX	Guggenheim Alpha Opp	Pair Corr
0.72	SAOCX	Guggenheim Alpha Opp	Pair Corr
0.82	SVUIX	Guggenheim Mid Cap	Pair Corr
0.89	SECEX	Guggenheim Styleplus	Pair Corr
0.87	SECIX	Guggenheim Large Cap	Pair Corr
0.89	SECUX	Guggenheim Styleplus	Pair Corr
0.69	SEQAX	Guggenheim World Equity	Pair Corr
0.69	SEQPX	Guggenheim World Equity	Pair Corr
0.89	SEUPX	Guggenheim Styleplus	Pair Corr
0.82	SEVAX	Guggenheim Mid Cap	Pair Corr
0.69	SEWIX	Guggenheim World Equity	Pair Corr
0.88	SFECX	Guggenheim Styleplus	Pair Corr
0.88	SFEPX	Guggenheim Styleplus	Pair Corr
0.66	SFGCX	Guggenheim World Equity	Pair Corr

Moving against Guggenheim Mutual Fund

0.83	SDICX	Guggenheim Investment	Pair Corr
0.82	GIBLX	Guggenheim Total Return	Pair Corr
0.81	GIBCX	Guggenheim Total Return	Pair Corr
0.81	GIBAX	Guggenheim Total Return	Pair Corr
0.81	GIUSX	Guggenheim Investment	Pair Corr
0.8	GIBRX	Guggenheim Total Return	Pair Corr
0.79	GIBIX	Guggenheim Total Return	Pair Corr

Related Correlations Analysis

	GUMCX	GUMNX	GUMAX	LOTAX	VYCEX
GUMCX		1.0	1.0	-0.49	0.0	GUMCX
GUMNX	1.0		1.0	-0.5	0.0	GUMNX
GUMAX	1.0	1.0		-0.5	0.0	GUMAX
LOTAX	-0.49	-0.5	-0.5		0.0	LOTAX
VYCEX	0.0	0.0	0.0	0.0		VYCEX
	GUMCX	GUMNX	GUMAX	LOTAX	VYCEX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

GUMNX	+ 1.0	GUMCX
GUMAX	+ 1.0	GUMCX
GUMAX	+ 1.0	GUMNX
VYCEX	+ 0.0	GUMCX
VYCEX	+ 0.0	GUMNX
VYCEX	+ 0.0	GUMAX

High negative correlations

LOTAX	- 0.5	GUMAX
LOTAX	- 0.5	GUMNX
LOTAX	- 0.49	GUMCX
VYCEX	- 0.0	LOTAX
VYCEX	- 0.0	GUMAX
VYCEX	- 0.0	GUMNX

Risk-Adjusted Indicators

There is a big difference between Guggenheim Mutual Fund performing well and Guggenheim Market Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Guggenheim Market's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
GUMCX	0.08	0.01	(0.93)	(1.28)	(0.11)	0.19	(0.16)	0.50
GUMNX	0.08	0.01	(0.88)	(2.57)	(0.10)	0.19	(0.15)	0.52
GUMAX	0.08	0.01	(0.86)	(1.37)	(0.10)	0.18	(0.15)	0.51
LOTAX	0.63	(0.11)	0.00	(0.04)	0.00	1.07	(1.32)	4.21
VYCEX	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00

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