Citadel Corporate Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Corporate Bond Account concentrates on bonds issued by corporations. The account tends to have more credit risk than government or agency-backed bonds. The portfolio manager holds more than 65% of its assets in corporate bonds; less than 40% of its assets in foreign bonds; and more than 35% in high yield bonds.

Benchmark: S&P 500 High Yield Corporate Bond Index

Core Facts

Asset Class Taxable Bond
Category Corporate Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C044
Account manager Galleon Wealth Management
Region Global
Market Developed

Credit Quality

Ltd

Mod

Ext
High


Med

Low


Interest Rate Sensitivity

Portfolio composition by security (top holdings)

Top Holdings

ProShares S&P 500 Bond ETF3.48%
Vanguard Total Corporate Bond ETF ETF Shares3.34%
iShares Intermediate-Term Corporate Bond ETF3.45%
iShares Broad USD Investment Grade Corporate Bond ETF3.37%
SPDR Portfolio Intermediate Term Corporate Bond ETF3.03%
Goldman Sachs Access Investment Grade Corporate Bond ETF3.24%
SPDR Portfolio Corporate Bond ETF3.47%
Vanguard Intermediate-Term Corporate Bond Index Fund ETF Shares3.38%
Vanguard Short-Term Corporate Bond Index Fund ETF Shares2.88%
iShares iBoxx $ Investment Grade Corporate Bond ETF3.30%

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%