Citadel High Yield Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel High-Yield Bond Account concentrate on lower-quality bonds, which are riskier than those of higher-quality companies. In exchange for the higher level of risk, the account generally offer potentially higher yields than other types of portfolios, but it is also more vulnerable to economic and credit risk. The portfolio manager primarily invests in U.S. high-income debt securities where at least 65% or more of bond assets that are not rated or are rated by a major agency such as Standard & Poor’s or Moody’s at the level of BB (considered speculative for taxable bonds) and below.

Benchmark: S&P 500 High Yield Corporate Bond Index

Core Facts

Asset Class Taxable Bond
Category High-Yield Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C048
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

Company NameForward Annual Div Yield
VanEck Vectors International High Yield Bond ETF4.45%
Invesco Fundamental High Yield Corporate Bond ETF4.12%
SPDR Bloomberg Barclays High Yield Bond ETF5.44%
iShares US & Intl High Yield Corp Bond ETF4.62%
iShares iBoxx $ High Yield Corporate Bond ETF5.00%
iShares Fallen Angels USD Bond ETF5.37%
iShares 0-5 Year High Yield Corporate Bond ETF5.34%
iShares Broad USD High Yield Corporate Bond ETF5.93%
Xtrackers High Beta High Yield Bond ETF6.78%
Xtrackers Low Beta High Yield Bond ETF4.55%

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 Date1/1/19
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard High-Yield Corporate Inv
Portfolio Performance
MetricCitadel High-Yield Bond C048Vanguard High-Yield Corporate Inv
Start Balance$10,000 $10,000
End Balance$11,379 $11,579
End Balance (inflation adjusted)$11,125 $11,320
CAGR13.79%15.79%
CAGR (inflation adjusted)11.25%13.20%
Stdev5.41%5.10%
Best Year13.79%15.79%
Worst Year13.79%15.79%
Max. Drawdown-1.57%-1.08%
Sharpe Ratio2.042.52
Sortino Ratio6.239.95
US Stock Market Correlation0.870.85
Risk and Return Metrics
MetricCitadel High-Yield Bond C048Vanguard High-Yield Corporate Inv
Arithmetic Mean (monthly)1.09%1.24%
Arithmetic Mean (annualized)13.94%15.92%
Geometric Mean (monthly)1.08%1.23%
Geometric Mean (annualized)13.79%15.79%
Volatility (monthly)1.56%1.47%
Volatility (annualized)5.41%5.10%
Downside Deviation (monthly)0.45%0.31%
Max. Drawdown-1.57%-1.08%
US Market Correlation0.870.85
Beta (*)1.041
Alpha (annualized)-2.28%0.00%
R Squared95.26%100.00%
Sharpe Ratio2.042.52
Sortino Ratio6.239.95
Treynor Ratio (%)10.6312.76
Active Return-2.00%N/A
Tracking Error1.19%N/A
Information Ratio-1.68N/A
Skewness0.881.35
Excess Kurtosis1.963.38
Historical Value-at-Risk (5%)-1.57%-1.08%
Analytical Value-at-Risk (5%)-1.37%-1.18%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)91.47100
Downside Capture Ratio (%)144.73100
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate10.11%11.66%
Positive Periods11 out of 12 (91.67%)11 out of 12 (91.67%)
Gain/Loss Ratio0.851.34
(*) Vanguard High-Yield Corporate Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.12%
US Bonds74.93%
Intl Bonds23.37%
Other0.31%
Cash1.27%
Fixed Income Credit Quality
CategoryWeight
AAA0.73%
AA0.00%
A0.00%
BBB3.75%
Non-Investment Grade95.37%
Not Rated0.15%
Fixed Income Maturity
CategoryWeight
Under 1 Year0.74%
1 - 3 Years16.98%
3 - 5 Years30.28%
5 - 7 Years27.73%
7 - 10 Years17.88%
10 - 15 Years2.71%
15 - 20 Years1.05%
20 - 30 Years1.49%
Over 30 Years1.14%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May-19May-191 monthJun-191 month2 months-1.57%