Citadel Emerging-Markets Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Emerging Markets Bond Account invests more than 65% of its assets in foreign bonds from developing countries. The portfolio manager will hold debt securities (bonds) in the emerging market economies of Latin America, Eastern Europe (primarily), and Africa, the Middle East, and Asia (secondarily). The account seeks current income vs. long-term capital appreciation.

Benchmark: S&P Global Emerging Sovereign Inflation-Linked Bond (USD) Index

Core Facts

Asset Class Taxable Bond
Category Emerging-Markets Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $20,000 US
Account number C045
Account manager Galleon Wealth Management
Region Global
Market Emerging/Frontier

Credit Quality

Ltd

Mod

Ext
High

Med


Low


Interest Rate Sensitivity

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
PIMCO Emerging Markets Corporate Bond Fund Institutional Class4.56%
T. Rowe Price Institutional Emerging Markets Bond Fund5.41%
TCW Emerging Markets Income Fund Class Institutional4.91%
Payden Emerging Markets Bond Fund Investor Class5.46%
JPMorgan Emerging Markets Debt Fund Class A4.56%
iShares Emerging Markets High Yield Bond ETF5.75%
Vanguard Emerging Markets Government Bond Index Fund ETF Shares4.61%
VanEck Vectors Emerging Markets High Yield Bond ETF5.66%
Invesco Emerging Markets Sovereign Debt ETF4.85%
iShares J.P. Morgan USD Emerging Markets Bond ETF4.54%

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 Date1/1/14
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Emerging Mkts Govt Bd ETF
Portfolio Performance
MetricCitadel Emerging-Markets BondVanguard Emerging Mkts Govt Bd ETF
Start Balance$10,000 $10,000
End Balance$13,809 $14,005
End Balance (inflation adjusted)$12,523 $12,701
CAGR5.53%5.77%
CAGR (inflation adjusted)3.82%4.07%
Stdev5.98%5.32%
Best Year14.39%14.46%
Worst Year-5.09%-2.92%
Max. Drawdown-6.41%-4.95%
Sharpe Ratio0.790.92
Sortino Ratio1.351.65
US Stock Market Correlation0.450.38
Risk and Return Metrics
MetricCitadel Emerging-Markets BondVanguard Emerging Mkts Govt Bd ETF
Arithmetic Mean (monthly)0.46%0.48%
Arithmetic Mean (annualized)5.71%5.92%
Geometric Mean (monthly)0.45%0.47%
Geometric Mean (annualized)5.53%5.77%
Volatility (monthly)1.72%1.54%
Volatility (annualized)5.98%5.32%
Downside Deviation (monthly)0.97%0.82%
Max. Drawdown-6.41%-4.95%
US Market Correlation0.450.38
Beta (*)1.081
Alpha (annualized)-0.68%0.00%
R Squared93.21%100.00%
Sharpe Ratio0.790.92
Sortino Ratio1.351.65
Treynor Ratio (%)4.334.89
Calmar Ratio0.941.4
Active Return-0.25%N/A
Tracking Error1.62%N/A
Information Ratio-0.15N/A
Skewness-0.010.02
Excess Kurtosis-0.040.1
Historical Value-at-Risk (5%)-2.34%-1.90%
Analytical Value-at-Risk (5%)-2.36%-2.05%
Conditional Value-at-Risk (5%)-3.29%-2.83%
Upside Capture Ratio (%)104.13100
Downside Capture Ratio (%)113.04100
Safe Withdrawal Rate18.59%18.78%
Perpetual Withdrawal Rate3.68%3.91%
Positive Periods46 out of 72 (63.89%)45 out of 72 (62.50%)
Gain/Loss Ratio1.121.33
(*) Vanguard Emerging Mkts Govt Bd ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.01%
Intl Stocks0.14%
US Bonds5.86%
Intl Bonds95.43%
Other0.23%
Cash-1.68%
Fixed Income Credit Quality
CategoryWeight
AAA1.24%
AA2.85%
A5.59%
BBB23.04%
Non-Investment Grade66.51%
Not Rated0.77%
Fixed Income Maturity
CategoryWeight
Under 1 Year1.56%
1 - 3 Years12.02%
3 - 5 Years17.39%
5 - 7 Years14.53%
7 - 10 Years19.99%
10 - 15 Years7.90%
15 - 20 Years4.01%
20 - 30 Years18.86%
Over 30 Years3.74%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb-18Nov-1810 monthsMar-194 months1 year 2 months-6.41%
2Sep-14Sep-151 year 1 monthApr-167 months1 year 8 months-6.34%
3Oct-16Nov-162 monthsFeb-173 months5 months-4.43%
4Jan-14Jan-141 monthFeb-141 month2 months-1.03%
5Aug-19Sep-192 monthsDec-193 months5 months-0.91%
6Jun-17Jun-171 monthJul-171 month2 months-0.47%
7Nov-17Nov-171 monthDec-171 month2 months-0.46%
8Jul-14Jul-141 monthAug-141 month2 months-0.25%
9May-16May-161 monthJun-161 month2 months-0.06%
Rolling Returns
YearCitadel Emerging-Markets Bond 3-year annualized returnCitadel Emerging-Markets Bond 5-year annualized returnVanguard Emerging Mkts Govt Bd ETF 3-year annualized returnVanguard Emerging Mkts Govt Bd ETF 5-year annualized return
20165.03%N/A5.15%N/A
20177.29%N/A6.56%N/A
20185.40%3.84%4.96%4.12%
20196.03%6.04%6.40%6.10%