Total Return Bond

Price $26.61
Change $0.01 / 0.04%
As of 2/15/19
 
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Anne Walsh

Anne B. Walsh

Senior Managing Director and Chief Investment Officer, Fixed Income

The Future of Core Fixed Income

Portfolio

Portfolio Characteristics

Total Return Bond Bloomberg Barclays U.S. Aggregate Bond Index
Weighted Average Life (WAL) to Worst 6.1 8.1
Number of Holdings 832 10252
Effective Duration 4.0 5.7
Average Price 98.1 100.5

Weighted average life (WAL) to worst represents the weighted average number of years for which each dollar of unpaid principal on a fixed-income security remains outstanding. This calculation is made by making the worst-case scenario assumptions on the issue, assuming any prepayment, call, or sinking fund options are used by the issuer.

Weighted average effective duration of the securities comprising the fund portfolio or the index. Effective duration takes into account any embedded options (i.e., a put or a call) and reflects the expected change in future cash flows caused by the options in response to changing interest rates.

Average Price excludes zero coupon, interest only and principal only bonds, preferred securities not priced at 100 par, and other alternative sector buckets when applicable.

Sector Allocation (% of Gross Assets)

Total Return Bond Bloomberg Barclays U.S. Aggregate Bond Index
Cash & Cash Equivalents 27.8% 0.0%
U.S. Treasuries & Agencies 15.6% 40.0%
Collateralized Loan Obligations 12.4% 0.0%
Non-Agency Mortgage-Backed Securities 12.3% 0.0%
Agency Commercial Mortgage-Backed Securities 9.4% 0.8%
Asset-Backed Securities 8.4% 0.6%
Foreign Government & Agencies 4.2% 3.8%
Agency Mortgage-Backed Securities 2.2% 28.1%
Investment Grade Corporate Bonds 2.0% 24.6%
Non-Agency Commercial Mortgage-Backed Securities 1.6% 1.2%
Military Housing Bonds 1.5% 0.0%
Other Fixed Income 1.4% 0.0%
Bank Loans 0.8% 0.0%
Municipal Bonds 0.8% 0.9%
High Yield Corporate Bonds 0.3% 0.0%
Private Placements 0.1% 0.0%
Derivatives -0.7% 0.0%

As of 12.31.2018, fund utilized 0.0% gross leverage.

Other Fixed Income includes investment vehicles such as fixed-income closed-end funds, exchange traded funds and mutual funds.

Three-Year Fund Risk Data Institutional Class (compared to Barclays U.S. Aggregate Bond Index)

Alpha 2.69
Correlation 0.85
Standard Deviation 2.23
Sharpe Ratio 1.51
Up Market Capture 105.38%
Down Market Capture 25.59%

Standard Deviation: A statistical measure of the historical volatility of an investment, usually computed using 36 monthly returns.

Alpha is a measure of the difference betweena actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the portfolio has performed better than its beta would predict. In contrast, a negative alpha indicates the portfolio has underperformed, given the expectations established by beta.

Correlation: A measurement between -1 and 1, which indicates the linear relationship between two variables. If there is no relationship between two variables, the correlation coefficient is 0. If there is a perfect relationship, the correlation is 1. And if there is a perfect inverse relationship, the correlation is -1.

Sharpe Ratio: A risk-adjusted measure developed by William F. Sharpe calculated using standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe Ratio, the better the risk-adjusted performance.

Up-Market Capture: A statistical measure of an investment overall performance in up-markets. The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen.

Down-Market Capture: A statistical measure of an investment overall performance in down-markets. The down-market capture ratio is used to evaluate how well or poorly an investment manager performed relative to an index during periods when that index has dropped.

Credit Quality (% of Gross Assets)

Total Return Bond Bloomberg Barclays U.S. Aggregate Bond Index
AAA 4.39% 72.5%
AA 5.7% 3.6%
A 8.0% 10.1%
BBB 4.8% 13.7%
BB 3.0% 0.0%
B 2.0% 0.0%
CCC 2.8% 0.0%
CC 1.0% 0.0%
C 0.3% 0.0%
Not Rated 0.1% 0.0%
Other Fixed Income 1.4% 0.0%
Other -0.7% 0.0%

Source: BlackRock Solutions and Barclays. The fund credit quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). All securities except for those labeled “Not Rated” or “Other Fixed Income” have been rated by a Nationally Recognized Statistical Rating Organization (“NRSRO”). For purposes of this presentation, when ratings are available from more than one NRSRO, the highest rating is used. Guggenheim Investments converts ratings to the equivalent S&P rating. The index uses the Barclays index methodology.

Unrated securities do not necessarily indicate low credit quality.

Other includes non-fixed-income holdings such as equity, alternatives, non-fixed-income investment vehicles, and derivatives.

Sector Allocation Comparison - Fund vs Bloomberg Barclays U.S. Aggregate Bond Index

Click and Drag  to change time periods and view respective data

DURATION
(Years)
0.00
Correlation

As of December 2016

Correlation: Ameasurement between -1 and 1, which indicates the linear relationship between two variables. If there is no relationship between two variables, the correlation coefficient is 0. If there is a perfect relationship, the correlation is 1. And if there is a perfect inverse relationship, the correlation is -1.

Duration is a measure of interest-rate sensitivity of a fixed-income security based on an interest rate change of 1% or 100 basis points.

Weighted average effective duration of the securities comprising the fund portfolio or the index. Effective duration takes into account any embedded options (i.e., a put or a call) and reflects the expected change in future cash flows caused by the options in response to changing interest rates.

Yield to Maturity (YTM) is the total return anticipated on a bond if the bond is held until the end of its lifetime.

Sector Allocation Breakdown Over Time

Hover mouse over chart for additional detail.

Cash was set to zero for periods where the ending cash balance was negative due to traded but not settled trades.

Performance displayed represents past performance which is no guarantee of future results. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than original cost. Current performance may be lower or higher than the performance data quoted. Returns for performance under one year are cumulative, not annualized. With load performance reflects maximum sales charges or contingent deferred sales charges (CDSC) as applicable. Class A-shares have a maximum sales charge of 4.00%. Effective 10/1/2015 the A-Class maximum front-end sales charge was changed from 4.75% to 4.00%. For performance periods that begin prior to 10/1/2015, a 4.75% load was used and for performance periods that begin after 10/1/2015, a 4.00% load was used. Class C-shares have a maximum CDSC of 1% for shares redeemed within 12 months of purchase. For additional information, see the fund's prospectus.

Data is subject to change on a daily basis. Partial year returns are cumulative, not annualized. Returns reflect the reinvestment of dividends. The securities mentioned are provided for informational purposes only and should not be deemed as a recommendation to buy or sell.

This Fund may not be suitable for all investors. • Investments in fixed-income instruments are subject to the possibility that interest rates could rise, causing the value of the Fund’s holdings and share price to decline. • Investors in asset-backed securities, including collateralized loan obligations (“CLOs”), generally receive payments that are part interest and part return of principal. These payments may vary based on the rate loans are repaid. Some asset-backed securities may have structures that make their reaction to interest rates and other factors difficult to predict, making their prices volatile and they are subject to liquidity and valuation risk. • High yield and unrated debt securities are at a greater risk of default than investment grade bonds and may be less liquid, which may increase volatility. • The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if it had not been leveraged. The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. • Investments in reverse repurchase agreements expose the Fund to many of the same risks as leveraged instruments, such as derivatives. • Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit, interest rate, counterparty, prepayment, liquidity, and valuation risks. Loans may offer a fixed or floating interest rate and are often generally below investment grade and may be unrated. • You may have a gain or loss when you sell your shares. • Please read the prospectus for more detailed information regarding these and other risks.

+ The Advisor has contractually agreed to waive fees and/or reimburse fund expenses until February 1, 2020 to limit the ordinary expenses of the fund. Read the prospectus for more information regarding fees and expenses.



Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objective, risks charges, expenses and the other information, which should be considered carefully before investing. To obtain a prospectus and summary prospectus (if available) click here or call 800.820.0888.

Investing involves risk, including the possible loss of principal.

Guggenheim Investments represents the investment management business of Guggenheim Partners, LLC ("Guggenheim"), which includes Security Investors, LLC ("SI"), Guggenheim Funds Investments Advisors, LLC ("GFIA") and Guggenheim Partners Investment Management ("GPIM") the investment advisors to the referenced funds.

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