Citadel Bank Loan

Citadel Accounts: Taxable Bond

Summary

The Citadel Bank Loan Account invests primarily in floating-rate bank loans vs. bonds. In exchange for their credit risk, the portfolio manager seeks high interest payments that typically float above a common short-term benchmark, such as the London Interbank Offered Rate, or LIBOR. The account strives for current income vs. long-term capital gains.

Benchmark: S&P/LSTA U.S. Leveraged Loan 100 Index

Core Facts

Asset Class Taxable Bond
Category Bank Loan
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $10,000 US
Account number C043
Account manager Galleon Wealth Management
Region North America/US
Market Developed

Credit Quality

Ltd

Mod

Ext
High


Med


Low

Interest Rate Sensitivity

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
T. Rowe Price Institutional Floating Rate Fund5.12%
Invesco Oppenheimer Senior Floating Rate Fund Class A5.23%
Eaton Vance Floating-Rate Advantage Fund Class B4.88%
Lord Abbett Floating Rate Fund Class I5.71%
Fidelity Advisor Floating Rate High Income Fund I Class5.11%
Virtus Seix Senior Loan ETF-
Franklin Liberty Senior Loan ETF3.98%
First Trust Senior Loan Fund4.45%
SPDR Blackstone / GSO Senior Loan ETF5.40%
Invesco Senior Loan ETF5.17%

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/18
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkSPDR Portfolio Corporate Bond ETF
Portfolio Performance
MetricCitadel Corporate BondSPDR Portfolio Corporate Bond ETF
Start Balance$10,000 $10,000
End Balance$11,132 $11,264
End Balance (inflation adjusted)$10,679 $10,806
CAGR5.51%6.13%
CAGR (inflation adjusted)3.34%3.95%
Stdev3.89%4.51%
Best Year13.16%14.68%
Worst Year-1.63%-1.78%
Max. Drawdown-3.00%-3.37%
Sharpe Ratio0.90.91
Sortino Ratio1.872.04
US Stock Market Correlation0.190.16
Risk and Return Metrics
MetricCitadel Corporate BondSPDR Portfolio Corporate Bond ETF
Arithmetic Mean (monthly)0.45%0.51%
Arithmetic Mean (annualized)5.58%6.23%
Geometric Mean (monthly)0.45%0.50%
Geometric Mean (annualized)5.51%6.13%
Volatility (monthly)1.12%1.30%
Volatility (annualized)3.89%4.51%
Downside Deviation (monthly)0.46%0.50%
Max. Drawdown-3.00%-3.37%
US Market Correlation0.190.16
Beta (*)0.841
Alpha (annualized)0.34%0.00%
R Squared95.22%100.00%
Sharpe Ratio0.90.91
Sortino Ratio1.872.04
Treynor Ratio (%)4.094.07
Active Return-0.62%N/A
Tracking Error1.11%N/A
Information Ratio-0.56N/A
Skewness0.540.77
Excess Kurtosis-0.270.15
Historical Value-at-Risk (5%)-1.34%-1.42%
Analytical Value-at-Risk (5%)-1.36%-1.64%
Conditional Value-at-Risk (5%)-1.42%-1.42%
Upside Capture Ratio (%)88.73100
Downside Capture Ratio (%)87.4100
Safe Withdrawal Rate50.70%50.94%
Perpetual Withdrawal Rate3.23%3.80%
Positive Periods16 out of 24 (66.67%)16 out of 24 (66.67%)
Gain/Loss Ratio1.521.56
(*) SPDR Portfolio Corporate Bond ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds77.80%
Intl Bonds17.47%
Other3.72%
Cash1.01%
Fixed Income Credit Quality
CategoryWeight
AAA1.69%
AA7.46%
A38.43%
BBB52.36%
Non-Investment Grade0.06%
Not Rated0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year0.14%
1 - 3 Years16.39%
3 - 5 Years17.64%
5 - 7 Years23.25%
7 - 10 Years25.07%
10 - 15 Years2.46%
15 - 20 Years3.91%
20 - 30 Years10.16%
Over 30 Years0.97%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan-18Nov-1811 monthsJan-192 months1 year 1 month-3.00%
2Sep-19Sep-191 monthOct-191 month2 months-0.42%