Correlation Between The Arbitrage and Guggenheim Managed

Can any of the company-specific risk be diversified away by investing in both The Arbitrage and Guggenheim Managed 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 The Arbitrage and Guggenheim Managed into the same portfolio, which is an essential part of the fundamental portfolio management process.

By analyzing existing cross correlation between The Arbitrage Fund and Guggenheim Managed Futures, you can compare the effects of market volatilities on The Arbitrage and Guggenheim Managed 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 The Arbitrage with a short position of Guggenheim Managed. Check out your portfolio center. Please also check ongoing floating volatility patterns of The Arbitrage and Guggenheim Managed.

Diversification Opportunities for The Arbitrage and Guggenheim Managed

0.19

Correlation Coefficient

The Arbitrage  Guggenheim Managed

Average diversification

The 3 months correlation between The and Guggenheim is 0.19. Overlapping area represents the amount of risk that can be diversified away by holding The Arbitrage Fund and Guggenheim Managed Futures in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Guggenheim Managed and The Arbitrage 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 The Arbitrage Fund are associated (or correlated) with Guggenheim Managed. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Guggenheim Managed has no effect on the direction of The Arbitrage i.e., The Arbitrage and Guggenheim Managed go up and down completely randomly.

Pair Corralation between The Arbitrage and Guggenheim Managed

Assuming the 90 days horizon The Arbitrage Fund is expected to under-perform the Guggenheim Managed. But the mutual fund apears to be less risky and, when comparing its historical volatility, The Arbitrage Fund is 3.13 times less risky than Guggenheim Managed. The mutual fund trades about -0.13 of its potential returns per unit of risk. The Guggenheim Managed Futures is currently generating about 0.01 of returns per unit of risk over similar time horizon. If you would invest  2,006  in Guggenheim Managed Futures on October 7, 2024 and sell it today you would earn a total of  5.00  from holding Guggenheim Managed Futures or generate 0.25% return on investment over 90 days.

Time Period	3 Months [change]
Direction	Moves Together
Strength	Insignificant
Accuracy	100.0%
Values	Daily Returns

The Arbitrage Fund  vs.  Guggenheim Managed Futures

The Arbitrage

Risk-Adjusted Performance

0 of 100

Very Weak

Over the last 90 days The Arbitrage Fund has generated negative risk-adjusted returns adding no value to fund investors. In spite of fairly strong technical and fundamental indicators, The Arbitrage is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Guggenheim Managed

Risk-Adjusted Performance

2 of 100

Weak

Compared to the overall equity markets, risk-adjusted returns on investments in Guggenheim Managed Futures are ranked lower than 2 (%) of all funds and portfolios of funds over the last 90 days. In spite of fairly strong technical and fundamental indicators, Guggenheim Managed is not utilizing all of its potentials. The current stock price disturbance, may contribute to short-term losses for the investors.

Pair Trading with The Arbitrage and Guggenheim Managed

The main advantage of trading using opposite The Arbitrage and Guggenheim Managed positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if The Arbitrage position performs unexpectedly, Guggenheim Managed 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 Managed will offset losses from the drop in Guggenheim Managed's long position.

The idea behind The Arbitrage Fund and Guggenheim Managed Futures pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.

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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 Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.