Citadel Inflation-Protected Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Inflation-Protected Bond Account primarily invests in debt securities that adjust their principal values in line with the rate of inflation. The bonds held in the account can be issued by any organization, but the U.S. Treasury is currently the largest issuer for these types of securities. The portfolio manager focuses on providing current income vs. long-term capital appreciation.

Benchmark: S&P US Treasury TIPS Index

Core Facts

Asset Class Taxable Bond
Category Inflation-Protected Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C049
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
Invesco PureBeta 0-5 Yr US TIPS ETF2.12%
FlexShares iBoxx 5-Year Target Duration TIPS Index Fund1.81%
FlexShares iBoxx 3-Year Target Duration TIPS Index Fund1.91%
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund1.74%
iShares TIPS Bond ETF1.76%
iShares 0-5 Year TIPS Bond ETF2.06%
SPDR Bloomberg Barclays 1-10 Year TIPS ETF2.52%
SPDR Portfolio TIPS ETF2.61%
Vanguard Short-Term Inflation-Protected Securities Index Fund ETF Shares1.95%
Schwab U.S. TIPS ETF2.02%

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
BenchmarkVanguard Inflation-Protected Secs Inv
Portfolio Performance
MetricCitadel Inflation-Protected BondVanguard Inflation-Protected Secs Inv
Start Balance$10,000 $10,000
End Balance$10,667 $10,645
End Balance (inflation adjusted)$10,233 $10,212
CAGR3.28%3.17%
CAGR (inflation adjusted)1.16%1.05%
Stdev2.99%3.33%
Best Year7.78%8.06%
Worst Year-1.03%-1.49%
Max. Drawdown-2.20%-2.37%
Sharpe Ratio0.430.36
Sortino Ratio0.70.58
US Stock Market Correlation0.050.04
Risk and Return Metrics
MetricCitadel Inflation-Protected BondVanguard Inflation-Protected Secs Inv
Arithmetic Mean (monthly)0.27%0.27%
Arithmetic Mean (annualized)3.32%3.23%
Geometric Mean (monthly)0.27%0.26%
Geometric Mean (annualized)3.28%3.17%
Volatility (monthly)0.86%0.96%
Volatility (annualized)2.99%3.33%
Downside Deviation (monthly)0.45%0.50%
Max. Drawdown-2.20%-2.37%
US Market Correlation0.050.04
Beta (*)0.91
Alpha (annualized)0.42%0.00%
R Squared99.60%100.00%
Sharpe Ratio0.430.36
Sortino Ratio0.70.58
Treynor Ratio (%)1.431.19
Active Return0.11%N/A
Tracking Error0.40%N/A
Information Ratio0.27N/A
Skewness0.160.25
Excess Kurtosis-0.19-0.3
Historical Value-at-Risk (5%)-1.25%-1.33%
Analytical Value-at-Risk (5%)-1.11%-1.32%
Conditional Value-at-Risk (5%)-1.36%-1.42%
Upside Capture Ratio (%)93.81100
Downside Capture Ratio (%)84.86100
Safe Withdrawal Rate49.83%49.66%
Perpetual Withdrawal Rate1.14%1.05%
Positive Periods15 out of 24 (62.50%)15 out of 24 (62.50%)
Gain/Loss Ratio1.351.22
(*) Vanguard Inflation-Protected Secs Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds98.87%
Intl Bonds0.00%
Other0.00%
Cash1.13%
Fixed Income Credit Quality
CategoryWeight
AAA100.00%
AA0.00%
A0.00%
BBB0.00%
Non-Investment Grade0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year5.52%
1 - 3 Years22.05%
3 - 5 Years26.89%
5 - 7 Years13.91%
7 - 10 Years16.59%
10 - 15 Years0.25%
15 - 20 Years0.00%
20 - 30 Years14.80%
Over 30 Years0.00%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep-18Oct-182 monthsMar-195 months7 months-2.20%
2Jan-18Feb-182 monthsJun-184 months6 months-1.48%
3Sep-19Oct-192 months-0.97%
4Jul-18Jul-181 monthAug-181 month2 months-0.44%