Total Return Bond | Bloomberg U.S. Aggregate Bond Index | |
---|---|---|
Weighted Average Life (WAL) to Worst | 7.1 | 8.3 |
Effective Duration | 6.0 | 6.0 |
Yield To Maturity | 5.8 | 4.4 |
Number of Holdings | 1,621 | 13,657 |
Average Price | $94.9 | $93.1 |
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.
Yield to Maturity (YTM) is the total return anticipated on a bond if the bond is held until the end of its lifetime.
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.
SEC 30-day yield is based on net investment income for the most recent 30-day period, is annualized and is divided by the offering price at month-end.
Total Return Bond | Bloomberg U.S. Aggregate Bond Index | |
---|---|---|
AAA/Govt./Cash | 42.2% | 73.3% |
AA | 8.4% | 2.8% |
A | 16.9% | 11.5% |
BBB | 18.6% | 12.3% |
BB | 5.8% | 0.0% |
B | 2.2% | 0.0% |
CCC | 0.6% | 0.0% |
CC | 1.1% | 0.0% |
C | 0.1% | 0.0% |
Not Rated | 3.2% | 0.1% |
Fixed Income Funds | 0.8% | 0.0% |
Other | 0.3% | 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.
Total Return Bond | Bloomberg U.S. Aggregate Bond Index | |
---|---|---|
Agency Mortgage-Backed Securities | 21.5% | 25.5% |
U.S. Treasuries & Agencies | 18.5% | 44.3% |
Investment Grade Corporate Bonds | 18.2% | 24.4% |
Asset-Backed Securities | 12.5% | 0.5% |
Non-Agency Mortgage-Backed Securities | 9.1% | 0.0% |
Collateralized Loan Obligations | 8.6% | 0.0% |
High Yield Corporate Bonds | 6.4% | 0.0% |
Bank Loans | 2.7% | 0.0% |
Preferred Securities | 2.6% | 0.0% |
Private Placements | 1.9% | 0.0% |
Non-Agency Commercial Mortgage-Backed Securities | 1.4% | 1.3% |
Military Housing Bonds | 0.9% | 0.0% |
Other Fixed Income | 0.8% | 0.0% |
Foreign Government & Agencies | 0.4% | 3.2% |
Municipal Bonds | 0.3% | 0.6% |
Agency Commercial Mortgage-Backed Securities | 0.3% | 0.2% |
Derivatives | 0.3% | 0.0% |
Net Short Term Investments | -6.4% | 0.0% |
Other Fixed Income includes fixed income mutual funds, closed end funds, and other miscellaneous fixed income instruments.
Net Short Term Investments may include uninvested cash, net unsettled trades, money market funds, commercial paper, repos, reverse repos and other liquid short duration securities.
Alpha | 2.10 |
Standard Deviation | 4.80 |
Correlation | 0.92 |
Sharpe Ratio | 0.55 |
Up Market Capture | 114.66% |
Down Market Capture | 76.71% |
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 between 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 under performed, 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.
Click and Drag to change time periods and view respective data
As of December 2016
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.
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.
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Cash was set to zero for periods where the ending cash balance was negative due to traded but not settled trades.
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Guggenheim Investments represents the following affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Partners Investment Management, LLC, Security Investors, LLC, Guggenheim Funds Distributors, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Corporate Funding, LLC, Guggenheim Partners Europe Limited, Guggenheim Partners Japan Limited, and GS GAMMA Advisors, LLC.
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