Investment Grade Approach to Ultra Short Duration
Ultra Short Duration | Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
Weighted Average Life (WAL) to Worst | 0.9 | 0.2 |
Effective Duration | 0.6 | 0.2 |
Yield To Maturity | 0.9 | 0.1 |
Number of Holdings | 309 | 14 |
Average Price | $100.7 | $100.0 |
30-Day Subsidized SEC Yield | 0.59% | -- |
30-Day Unsubsidized SEC Yield | 0.59% | -- |
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 is the internal rate of return earned by an investor who buys the bond today at the market price, assuming that the bond will be held until maturity, and that all coupon and principal payments will be made on schedule.
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.
Ultra Short Duration | Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
AAA | 38.4% | 100.0% |
AA | 16.6% | 0.0% |
A | 13.7% | 0.0% |
BBB | 13.7% | 0.0% |
BB | 2.0% | 0.0% |
B | 2.0% | 0.0% |
Not Rated | 1.5% | 0.0% |
Other | -0.4% | 0.0% |
Cash & Cash Equivalents | 12.4% | 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 Barclays 1-3 Month U.S. Treasury Bill Index | |
---|---|---|
Foreign Government - Short Term | 27.8% | 0.0% |
Collateralized Loan Obligations | 15.8% | 0.0% |
Investment Grade Corporate Bonds | 15.4% | 0.0% |
Non-Agency Mortgage-Backed Securities | 10.7% | 0.0% |
Asset-Backed Securities | 8.8% | 0.0% |
Other Fixed Income | 3.6% | 0.0% |
High Yield Corporate Bonds | 1.9% | 0.0% |
Non-Agency Commercial Mortgage-Backed Securities | 1.5% | 0.0% |
Bank Loans | 1.3% | 0.0% |
Foreign Government & Agencies | 1.0% | 0.0% |
Municipal Bonds | 0.1% | 0.0% |
U.S. Treasuries & Agencies | 0.0% | 100.0% |
Derivatives | -0.4% | 0.0% |
Cash & Cash Equivalents | 12.4% | 0.0% |
As of 12/31/20, 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.
Alpha | 0.42 |
Standard Deviation | 0.90 |
Correlation | -0.69 |
Sharpe Ratio | 0.77 |
Up Market Capture | 187.19% |
Down Market Capture | -364.42% |
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.
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 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, GS GAMMA Advisors, LLC, and Guggenheim Partners India Management. Securities offered through Guggenheim Funds Distributors, LLC.
© 2021 Guggenheim Investments. All Rights Reserved.
Research our firm with FINRA Broker Check.
• Not FDIC Insured • No Bank Guarantee • May Lose Value
This website is directed to and intended for use by citizens or residents of the United States of America only. The material provided on this website is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation. Investing involves risk, including the possible loss of principal.