Citadel Emerging-Markets Local-Currency Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Emerging Markets Local Currency Bond Account invests more than 65% of its assets in foreign bonds from developing countries in local currency. The portfolio manager maintains exposure to currencies of emerging markets in order to achieve its goals and objectives. The largest portion of the emerging markets bond market comes from Latin America, followed by Eastern Europe, Africa, the Middle East, and Asia.

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

Core Facts

Asset Class Taxable Bond
Category Emerging-Markets Local-Currency Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $20,000 US
Account number C046
Account manager Galleon Wealth Management
Region Global
Market Emerging

Credit Quality

Ltd

Mod

Ext
High


Med


Low

Interest Rate Sensitivity

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
Goldman Sachs Local Emerging Markets Debt Fund Class A4.03%
PIMCO Emerging Markets Local Currency and Bond Fund Class A5.75%
TCW Emerging Markets Local Currency Income Fund Class I1.66%
Invesco Oppenheimer Emerging Markets Local Debt Fund Class A5.31%
Eaton Vance Emerging Markets Local Income Fund Class A13.02%
First Trust Emerging Markets Local Currency Bond ETF5.39%
WisdomTree Emerging Markets Local Debt Fund4.92%
iShares J.P. Morgan EM Local Currency Bond ETF4.39%
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF4.69%
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF6.26%

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 Date1/1/15
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkSPDR Blmbg Barclays Em Mkts Lcl Bd ETF
Portfolio Performance
MetricCitadel Emerging-Markets Local-Currency BondSPDR Blmbg Barclays Em Mkts Lcl Bd ETF
Start Balance$10,000 $10,000
End Balance$11,244 $11,002
End Balance (inflation adjusted)$10,274 $10,053
CAGR2.37%1.93%
CAGR (inflation adjusted)0.54%0.11%
Stdev10.71%9.53%
Best Year14.43%13.93%
Worst Year-14.19%-13.48%
Max. Drawdown-15.38%-13.76%
Sharpe Ratio0.170.14
Sortino Ratio0.260.2
US Stock Market Correlation0.310.31
Risk and Return Metrics
MetricCitadel Emerging-Markets Local-Currency BondSPDR Blmbg Barclays Em Mkts Lcl Bd ETF
Arithmetic Mean (monthly)0.24%0.20%
Arithmetic Mean (annualized)2.95%2.38%
Geometric Mean (monthly)0.20%0.16%
Geometric Mean (annualized)2.37%1.93%
Volatility (monthly)3.09%2.75%
Volatility (annualized)10.71%9.53%
Downside Deviation (monthly)2.06%1.82%
Max. Drawdown-15.38%-13.76%
US Market Correlation0.310.31
Beta (*)1.111
Alpha (annualized)0.30%0.00%
R Squared97.49%100.00%
Sharpe Ratio0.170.14
Sortino Ratio0.260.2
Treynor Ratio (%)1.681.31
Calmar Ratio0.40.42
Active Return0.45%N/A
Tracking Error1.99%N/A
Information Ratio0.22N/A
Skewness0.030.1
Excess Kurtosis0.340.59
Historical Value-at-Risk (5%)-5.50%-4.88%
Analytical Value-at-Risk (5%)-4.80%-4.33%
Conditional Value-at-Risk (5%)-6.23%-5.54%
Upside Capture Ratio (%)112.12100
Downside Capture Ratio (%)108.79100
Safe Withdrawal Rate18.89%18.81%
Perpetual Withdrawal Rate0.54%0.11%
Positive Periods35 out of 60 (58.33%)31 out of 60 (51.67%)
Gain/Loss Ratio0.871.12
(*) SPDR Blmbg Barclays Em Mkts Lcl Bd ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Annual Returns
YearInflationCitadel Emerging-Markets Local-Currency Bond ReturnSPDR Blmbg Barclays Em Mkts Lcl Bd ETF ReturnCitadel Emerging-Markets Local-Currency Bond BalanceSPDR Blmbg Barclays Em Mkts Lcl Bd ETF BalanceCitadel Emerging-Markets Local-Currency Bond Income (%)Citadel Emerging-Markets Local-Currency Bond Income ($)
20150.73%-14.19%-13.48%$8,581 $8,652 4.25%$425
20162.07%9.59%8.14%$9,404 $9,356 5.63%$483
20172.11%14.43%13.93%$10,761 $10,659 5.97%$562
20181.91%-7.67%-6.52%$9,936 $9,965 5.69%$612
20192.29%13.17%10.41%$11,244 $11,002 6.18%$614
Asset Allocation for Citadel Emerging-Markets Local-Currency Bond
CategoryWeight
US Stocks0.00%
Intl Stocks0.07%
US Bonds2.70%
Intl Bonds89.26%
Other0.95%
Cash7.02%
Fixed Income Credit Quality for Citadel Emerging-Markets Local-Currency Bond
CategoryWeight
AAA5.21%
AA2.47%
A19.38%
BBB34.12%
Non-Investment Grade26.68%
Not Rated12.13%
Fixed Income Maturity for Citadel Emerging-Markets Local-Currency Bond
CategoryWeight
Under 1 Year4.50%
1 - 3 Years14.78%
3 - 5 Years19.18%
5 - 7 Years14.51%
7 - 10 Years19.73%
10 - 15 Years12.86%
15 - 20 Years9.97%
20 - 30 Years4.10%
Over 30 Years0.36%
Drawdowns for Citadel Emerging-Markets Local-Currency Bond
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb-18Aug-187 monthsDec-191 year 4 months1 year 11 months-15.38%
2Feb-15Jan-161 yearApr-171 year 3 months2 years 3 months-15.33%
3Sep-17Oct-172 monthsDec-172 months4 months-2.96%
Rolling Returns
YearCitadel Emerging-Markets Local-Currency Bond 3-year annualized returnCitadel Emerging-Markets Local-Currency Bond 5-year annualized returnSPDR Blmbg Barclays Em Mkts Lcl Bd ETF 3-year annualized returnSPDR Blmbg Barclays Em Mkts Lcl Bd ETF 5-year annualized return
20172.48%N/A2.15%N/A
20185.01%N/A4.82%N/A
20196.14%2.37%5.55%1.93%