Series Z (Alpha Opportunity Series)
Data updated: 2024-08-29
C000027861 — Series Z (Alpha Opportunity Series). United States Large Cap Blend / Core Equity · $3.62M AUM. Holdings, fees, performance and SEC filings.
C000027861 Fund Overview
Series Z (Alpha Opportunity Series) is a US mutual fund managed by Guggenheim Variable Funds Trust, categorised as United States Large Cap Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Guggenheim Variable Funds Trust
- Category: United States Large Cap Blend / Core Equity
- Assets under management: $3.62M
- 1-year return: 12.9%
- SEC CIK: 0000217087
- SEC series ID: S000010062
- Share class ID: C000027861
C000027861 Investment Objective and Strategy
Series Z (Alpha Opportunity Series) describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Guggenheim Variable Funds Trust.
Investment objective
"Series Z (Alpha Opportunity Series) (the ""Series"") seeks long-term growth of capital."
Principal investment strategy
Series Z pursues its objective by investing, under normal market conditions, in long and short positions of domestic equity and equity-related securities (including swaps and other derivative investments giving long or short exposure to domestic equity securities). The Investment Manager uses a proprietary evaluation process to generate an expected return for individual stocks that considers market risk factors generally and risks specific to the companies in which the Series invests. Market risk factors include, among other factors, company size, enterprise value, and sector. The Investment Manager seeks to construct portfolios of equity-related investments that maintain long positions in instruments that provide exposure to risk factors that the Investment Manager considers to be undervalued by the equity markets and sells short instruments that provide exposure to risk factors that the Investment Manager considers to be overvalued by the equity markets.
The process uses fundamentally-based, forward-looking forecasts of equity cash flows to generate return expectations for individual stocks. Then, the expected returns for the universe of stocks is further evaluated using quantitative techniques to estimate the markets implied valuation of broad market risk factors as well as the company-specific risks. Finally, a portfolio is constructed within guidelines that buys long the stocks (or derivatives that give exposure to stocks) that give the portfolio both the broad risk characteristics and company-specific risks that are perceived to be undervalued and sells short stocks (or derivatives that give exposure to stocks) for which those characteristics are perceived to be overpriced. Alpha in the Series name refers to the potential for the Series portfolio to achieve returns that are favorable relative to the amount of risk taken.
Of course, there is no guarantee that the Series will achieve its objective of long-term growth of capital, and an investment in the Series involves significant risk. The Series will ordinarily hold simultaneous long and short positions in equity securities or securities markets that provide exposure up to a level equal to 150% of the Series' net assets for both the long and short positions. That level of exposure is obtained through derivatives, including swap agreements. The Investment Manager intends to maintain a low overall net exposure (the difference between the notional value of long positions and the notional value of short positions) for the portfolio, typically varying between 50% net long and 30% net short to seek to maintain low correlation to traditional equity markets, lower than market volatility and seek to provide consistent absolute return.
The overall net exposure will change as market opportunities change, and may, based on the Investment Managers view of current market conditions, be outside this range. The Series may invest in domestic equity securities, including small-, mid-, and large-capitalization securities. The Series also may invest in derivative instruments, including swaps on selected baskets of equity securities, to enable the Series to pursue its investment objective without investing directly in the securities of companies to which the Series is seeking exposure. The Series may also invest in derivatives, such as options and futures contracts, to hedge or gain leveraged exposure to a particular sector, industry, market risk factor, or company depending on market conditions. The Series will often invest in instruments traded in the over the-counter (OTC) market, which generally provides for less transparency than exchange-traded instruments.
The Series also may enter into long positions or short sales of broad-based stock indices for hedging purposes in an effort to reduce the Series risk or volatility through, among other instruments, exchange-traded funds and closed-end funds. The use of derivatives may create a leveraging effect on the Series which will force the Series to take offsetting positions or earmark or segregate assets to be used as collateral. The Series actively trades its investments, which can result in significant fluctuations in the Series' portfolio turnover rate. While the Series anticipates investing in these securities and instruments to seek to achieve its investment objective, the extent of the Series investment in these securities and instruments may vary from day-to-day depending on a number of different factors, including price, availability, and general market conditions.
On a day-to-day basis, the Series may hold U.S. government securities, short-term, high quality (rated AA or higher) fixed-income instruments, money market instruments, overnight and fixed-term repurchase agreements, cash and other cash equivalents with maturities of one year or less to collateralize its derivative positions. The Series also may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. Under adverse, unstable or abnormal market conditions, the Series could invest some or all of its assets in cash, derivatives, fixed-income instruments, government bonds, money market instruments, repurchase agreements or securities of other investment companies. The Series may be unable to pursue or achieve its investment objective during that time and temporary investments could reduce the benefit from any upswing in the market.
C000027861 Holdings
Top 10 holdings of Series Z (Alpha Opportunity Series) by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| Goldman Sachs Financial Square | 2.06% |
| Morgan Stanley Capital Services LLC | 2.02% |
| Goldman Sachs International | 1.60% |
| Morgan Stanley Capital Services LLC | 1.27% |
| United Therapeutics Corp | 1.07% |
| Gilead Sciences Inc | 1.01% |
| AT&T Inc | 0.99% |
| Dropbox Inc | 0.98% |
| Cisco Systems Inc | 0.98% |
| Yelp Inc | 0.98% |
C000027861 Portfolio Allocation
Asset-class allocation of Series Z (Alpha Opportunity Series) by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Equity | 93.5% |
| Derivatives | 5.7% |
| Cash & Equivalents | 2.1% |
C000027861 Performance
Total returns for C000027861 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 12.9% |
| 3 years (annualised) | 5.0% |
| 5 years (annualised) | 4.6% |
C000027861 Risk Information
Risk metrics for C000027861, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 9.3%
C000027861 Costs and Fees
C000027861 costs about $198 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.98%
- Gross expense ratio: 4.44%
- Portfolio turnover: 0%
- Brokerage commissions: 12.52 bps of average net assets (SEC N-CEN)
C000027861 Cashflows
Over the 12 months to 2024-06, Series Z (Alpha Opportunity Series) had net outflows of $433.00K, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-06 | −$101.58K |
| 2024-05 | −$6.11K |
| 2024-04 | −$53.00K |
| 2024-03 | −$119.55K |
| 2024-02 | $151.78K |
| 2024-01 | −$58.37K |
C000027861 Debt Constituents
No individual debt constituents are reported in Series Z (Alpha Opportunity Series)'s latest SEC N-PORT filing.
C000027861 Prospectus and SEC Filings
Official Series Z (Alpha Opportunity Series) filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2024-04-19
- Prospectus (485BPOS) — filed 2022-04-29
- Prospectus supplement (497) — filed 2023-05-03
- Portfolio holdings (N-PORT) — filed 2024-08-29
- Portfolio holdings (N-PORT) — filed 2024-05-30
- Portfolio holdings (N-PORT) — filed 2024-02-29
- Annual census (N-CEN) — filed 2024-03-14
- Annual census (N-CEN) — filed 2023-03-15
Related Funds
Other United States Large Cap Blend / Core Equity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.