An Unconstrained Fixed-Income Strategy
|Weighted Average Life (WAL) to Worst||1.3|
|Number of Holdings||1078|
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.
|Cash & Cash Equivalents||31.8%|
|Non-Agency Mortgage-Backed Securities||15.3%|
|Collateralized Loan Obligations||14.7%|
|Other Fixed Income||8.0%|
|High Yield Corporate Bonds||1.4%|
|Non-Agency Commercial Mortgage-Backed Securities||1.1%|
|Investment Grade Corporate Bonds||0.8%|
|Agency Mortgage-Backed Securities||0.3%|
As of 12.31.2018 and 9.30.2018, fund utilized 0.0% and 0.0% gross leverage respectively.
Other Fixed Income includes investment vehicles such as fixed-income closed-end funds, exchange traded funds and mutual funds. Derivatives reflect mark-to-market of swaps.
|Up Market Capture||68.87%|
|Down Market Capture||-67.87|
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.
|Other Fixed Income||8.0%|
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.
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.
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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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