Ultra Short Duration | Bloomberg 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
Weighted Average Life (WAL) to Worst | 1.1 | 0.2 |
Effective Duration | 0.7 | 0.1 |
Yield To Maturity | 5.9 | 5.2 |
Number of Holdings | 176 | 17 |
Average Price | $98.1 | $99.2 |
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.
Ultra Short Duration | Bloomberg 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
AAA/Govt./Cash | 34.0% | 100.0% |
AA | 24.9% | 0.0% |
A | 14.5% | 0.0% |
BBB | 17.0% | 0.0% |
BB | 1.4% | 0.0% |
Not Rated | 8.0% | 0.0% |
Other | 0.2% | 0.0% |
Source: BlackRock Solutions and Bloomberg 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.
Ultra Short Duration | Bloomberg 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
Net Short Term Investments | 31.1% | 0.0% |
Investment Grade Corporate Bonds | 25.8% | 0.0% |
Non-Agency Mortgage-Backed Securities | 12.7% | 0.0% |
Asset-Backed Securities | 12.2% | 0.0% |
Collateralized Loan Obligations | 11.8% | 0.0% |
Non-Agency Commercial Mortgage-Backed Securities | 4.8% | 0.0% |
Bank Loans | 1.4% | 0.0% |
Other | 0.2% | 0.0% |
U.S. Treasuries & Agencies | 0.0% | 100.0% |
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 | 0.34 |
Standard Deviation | 1.22 |
Correlation | -0.19 |
Sharpe Ratio | 0.46 |
Up Market Capture | 144.33% |
Down Market Capture | 196.07% |
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.
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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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