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GIOIX vs. FALN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

GIOIX vs. FALN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Guggenheim Macro Opportunities Fund (GIOIX) and iShares Fallen Angels USD Bond ETF (FALN). The values are adjusted to include any dividend payments, if applicable.

0.00%1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
5.11%
5.83%
GIOIX
FALN

Returns By Period

In the year-to-date period, GIOIX achieves a 7.08% return, which is significantly lower than FALN's 7.89% return.


GIOIX

YTD

7.08%

1M

0.34%

6M

5.11%

1Y

11.37%

5Y (annualized)

4.34%

10Y (annualized)

3.87%

FALN

YTD

7.89%

1M

0.42%

6M

5.83%

1Y

12.61%

5Y (annualized)

5.64%

10Y (annualized)

N/A

Key characteristics


GIOIXFALN
Sharpe Ratio4.412.66
Sortino Ratio9.364.04
Omega Ratio2.351.52
Calmar Ratio3.301.79
Martin Ratio37.3118.24
Ulcer Index0.30%0.70%
Daily Std Dev2.58%4.78%
Max Drawdown-12.22%-29.22%
Current Drawdown-0.16%-0.55%

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GIOIX vs. FALN - Expense Ratio Comparison

GIOIX has a 0.96% expense ratio, which is higher than FALN's 0.25% expense ratio.


GIOIX
Guggenheim Macro Opportunities Fund
Expense ratio chart for GIOIX: current value at 0.96% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.96%
Expense ratio chart for FALN: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

-0.50.00.51.00.5

The correlation between GIOIX and FALN is 0.49, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

GIOIX vs. FALN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Guggenheim Macro Opportunities Fund (GIOIX) and iShares Fallen Angels USD Bond ETF (FALN). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for GIOIX, currently valued at 4.41, compared to the broader market-1.000.001.002.003.004.005.004.412.66
The chart of Sortino ratio for GIOIX, currently valued at 9.36, compared to the broader market0.005.0010.009.364.04
The chart of Omega ratio for GIOIX, currently valued at 2.35, compared to the broader market1.002.003.004.002.351.52
The chart of Calmar ratio for GIOIX, currently valued at 3.30, compared to the broader market0.005.0010.0015.0020.0025.003.301.79
The chart of Martin ratio for GIOIX, currently valued at 37.31, compared to the broader market0.0020.0040.0060.0080.00100.0037.3118.24
GIOIX
FALN

The current GIOIX Sharpe Ratio is 4.41, which is higher than the FALN Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of GIOIX and FALN, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.502.002.503.003.504.004.505.00JuneJulyAugustSeptemberOctoberNovember
4.41
2.66
GIOIX
FALN

Dividends

GIOIX vs. FALN - Dividend Comparison

GIOIX's dividend yield for the trailing twelve months is around 6.31%, more than FALN's 6.09% yield.


TTM20232022202120202019201820172016201520142013
GIOIX
Guggenheim Macro Opportunities Fund
6.31%6.45%5.12%3.89%4.05%3.29%3.55%3.54%5.38%5.48%4.96%5.43%
FALN
iShares Fallen Angels USD Bond ETF
6.09%5.38%5.08%3.39%5.14%5.35%5.97%6.99%3.54%0.00%0.00%0.00%

Drawdowns

GIOIX vs. FALN - Drawdown Comparison

The maximum GIOIX drawdown since its inception was -12.22%, smaller than the maximum FALN drawdown of -29.22%. Use the drawdown chart below to compare losses from any high point for GIOIX and FALN. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.16%
-0.55%
GIOIX
FALN

Volatility

GIOIX vs. FALN - Volatility Comparison

The current volatility for Guggenheim Macro Opportunities Fund (GIOIX) is 0.55%, while iShares Fallen Angels USD Bond ETF (FALN) has a volatility of 1.27%. This indicates that GIOIX experiences smaller price fluctuations and is considered to be less risky than FALN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%1.40%1.60%JuneJulyAugustSeptemberOctoberNovember
0.55%
1.27%
GIOIX
FALN