Citadel High-Yield Money Market

Citadel Accounts: Taxable Bond

Summary

The Citadel High-Yield Money Market Account invests in short-term money market securities in order to provide a level of current income that is consistent with the preservation of capital. Clients holding excess funds may earn interest on the balances. The fund does not designate itself as Prime in form N-MFP and transact at a fixed net asset value.

Benchmark: S&P U.S. Treasury Bill 0-3 Month Index

Core Facts

Asset Class Taxable Bond
Category High-Yield Money Market
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.0%
Minimum investment [4] $1000 US
Account number C047
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
Arrow Reserve Capital Management ETF2.32%
iShares Ultra Short-Term Bond ETF2.61%
JPMorgan Ultra-Short Income ETF2.69%
Invesco Ultra Short Duration ETF2.68%
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF2.05%
iShares Short Maturity Bond ETF2.69%
iShares Short Treasury Bond ETF2.19%
PIMCO Enhanced Short Maturity Active Exchange-Traded Fund-

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
BenchmarkiShares Short Treasury Bond ETF
Portfolio Performance
MetricCitadel High-Yield Money MarketiShares Short Treasury Bond ETF
Start Balance$10,000 $10,000
End Balance$10,503 $10,412
End Balance (inflation adjusted)$10,076 $9,989
CAGR2.49%2.04%
CAGR (inflation adjusted)0.38%-0.05%
Stdev0.27%0.20%
Best Year3.06%2.36%
Worst Year1.92%1.72%
Max. Drawdown0.00%0.00%
Sharpe Ratio1.970.17
Sortino Ratio4.220.25
US Stock Market Correlation0.470.06
Risk and Return Metrics
MetricCitadel High-Yield Money MarketiShares Short Treasury Bond ETF
Arithmetic Mean (monthly)0.20%0.17%
Arithmetic Mean (annualized)2.49%2.04%
Geometric Mean (monthly)0.20%0.17%
Geometric Mean (annualized)2.49%2.04%
Volatility (monthly)0.08%0.06%
Volatility (annualized)0.27%0.20%
Downside Deviation (monthly)0.00%0.00%
Max. Drawdown0.00%0.00%
US Market Correlation0.470.06
Beta (*)0.81
Alpha (annualized)0.83%0.00%
R Squared37.54%100.00%
Sharpe Ratio1.970.17
Sortino Ratio4.220.25
Treynor Ratio (%)0.570.03
Active Return0.44%N/A
Tracking Error0.22%N/A
Information Ratio2.06N/A
Skewness0.29-0.73
Excess Kurtosis0.681.14
Historical Value-at-Risk (5%)0.00%0.00%
Analytical Value-at-Risk (5%)0.08%0.07%
Conditional Value-at-Risk (5%)0.00%0.00%
Upside Capture Ratio (%)121.79100
Downside Capture Ratio (%)N/AN/A
Safe Withdrawal Rate50.19%49.93%
Perpetual Withdrawal Rate0.38%0.00%
Positive Periods24 out of 24 (100.00%)24 out of 24 (100.00%)
Gain/Loss RatioN/AN/A
(*) iShares Short Treasury 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 Bonds42.67%
Intl Bonds16.35%
Other1.70%
Cash39.29%
Fixed Income Credit Quality
CategoryWeight
AAA34.83%
AA11.55%
A29.49%
BBB23.80%
Non-Investment Grade0.11%
Not Rated0.22%
Fixed Income Maturity
CategoryWeight
Under 1 Year38.19%
1 - 3 Years41.11%
3 - 5 Years6.47%
5 - 7 Years0.97%
7 - 10 Years4.40%
10 - 15 Years2.11%
15 - 20 Years1.55%
20 - 30 Years2.77%
Over 30 Years2.44%