Citadel Intermediate Government

Citadel Accounts: Taxable Bond

Summary

The Citadel Intermediate Government Account holds at least 90% of its allocation in bonds backed by the U.S. government, or backed by government-linked agencies. The portfolio manager focuses on holding bonds that minimizes credit risk. Thus, the account is structure to minimize risk as the U.S. government is unlikely to default on its debt. It exhibits durations typically between 3.5 and 6.0 years.  Consequently, the account’s performance, and its level of volatility, tend to fall between the short government and long government bond categories. Short is defined as 25% to 75% of the three-year average effective duration of the MCBI.

Benchmark: S&P U.S. Treasury Bond 3-5 Year Index

Core Facts

Asset Class Taxable Bond
Category Intermediate Government
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C050
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
SPDR Portfolio Mortgage Backed Bond ETF3.24%
Vanguard Mortgage-Backed Securities Index Fund ETF Shares2.77%
iShares GNMA Bond ETF2.61%
iShares 3-7 Year Treasury Bond ETF2.01%
Schwab Intermediate-Term U.S. Treasury ETF2.31%
iShares U.S. Treasury Bond ETF1.98%
SPDR Portfolio Intermediate Term Treasury ETF2.01%
Vanguard Intermediate-Term Bond Index Fund ETF Shares2.75%
iShares 7-10 Year Treasury Bond ETF2.08%
Vanguard Intermediate-Term Treasury Index Fund ETF Shares2.24%

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 Date1/1/13
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Intmdt-Term Trs Idx Admiral
Portfolio Performance
MetricCitadel Intermediate GovernmentVanguard Intmdt-Term Trs Idx Admiral
Start Balance$10,000 $10,000
End Balance$11,583 $11,395
End Balance (inflation adjusted)$10,349 $10,181
CAGR2.12%1.88%
CAGR (inflation adjusted)0.49%0.26%
Stdev3.11%3.34%
Best Year6.80%6.26%
Worst Year-2.62%-2.74%
Max. Drawdown-4.00%-4.32%
Sharpe Ratio0.450.35
Sortino Ratio0.740.57
US Stock Market Correlation-0.23-0.29
Risk and Return Metrics
MetricCitadel Intermediate GovernmentVanguard Intmdt-Term Trs Idx Admiral
Arithmetic Mean (monthly)0.18%0.16%
Arithmetic Mean (annualized)2.17%1.94%
Geometric Mean (monthly)0.18%0.16%
Geometric Mean (annualized)2.12%1.88%
Volatility (monthly)0.90%0.96%
Volatility (annualized)3.11%3.34%
Downside Deviation (monthly)0.52%0.56%
Max. Drawdown-4.00%-4.32%
US Market Correlation-0.23-0.29
Beta (*)0.921
Alpha (annualized)0.38%0.00%
R Squared97.80%100.00%
Sharpe Ratio0.450.35
Sortino Ratio0.740.57
Treynor Ratio (%)1.511.16
Calmar Ratio1.070.89
Active Return0.24%N/A
Tracking Error0.53%N/A
Information Ratio0.45N/A
Skewness0.050.25
Excess Kurtosis0.420.67
Historical Value-at-Risk (5%)-1.29%-1.47%
Analytical Value-at-Risk (5%)-1.29%-1.43%
Conditional Value-at-Risk (5%)-1.78%-1.83%
Upside Capture Ratio (%)97.03100
Downside Capture Ratio (%)88.99100
Safe Withdrawal Rate14.28%14.13%
Perpetual Withdrawal Rate0.49%0.26%
Positive Periods46 out of 84 (54.76%)43 out of 84 (51.19%)
Gain/Loss Ratio1.41.48
(*) Vanguard Intmdt-Term Trs Idx Admiral is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryCitadel Intermediate GovernmentVanguard Intmdt-Term Trs Idx Admiral
Large-cap Value0.00%0.00%
Large-cap Growth0.64%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.11%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets1.23%0.13%
Emerging Markets0.00%0.25%
REITs0.00%0.00%
Corporate Bonds1.67%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries51.01%55.65%
Short-Term Treasuries45.35%43.97%
R Squared98.58%98.71%
Style analysis is based on monthly returns from Jan 2013 to Dec 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds95.28%
Intl Bonds0.88%
Other0.14%
Cash3.70%
Fixed Income Credit Quality
CategoryWeight
AAA95.57%
AA0.30%
A1.61%
BBB2.51%
Non-Investment Grade0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year0.00%
1 - 3 Years3.34%
3 - 5 Years22.35%
5 - 7 Years18.89%
7 - 10 Years23.64%
10 - 15 Years1.94%
15 - 20 Years1.21%
20 - 30 Years27.67%
Over 30 Years0.95%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May-13Aug-134 monthsAug-141 year1 year 4 months-4.00%
2Aug-16Apr-181 year 9 monthsJan-199 months2 years 6 months-3.60%
3Feb-15Jun-155 monthsJan-167 months1 year-1.80%
4Sep-19Dec-194 months-0.77%
5Jan-13Jan-131 monthMar-132 months3 months-0.65%
6Sep-14Sep-141 monthOct-141 month2 months-0.55%
7Feb-19Feb-191 monthMar-191 month2 months-0.20%
8Apr-19Apr-191 monthMay-191 month2 months-0.14%
9Dec-14Dec-141 monthJan-151 month2 months-0.05%
Rolling Returns
YearCitadel Intermediate Government 3-year annualized returnCitadel Intermediate Government 5-year annualized returnCitadel Intermediate Government 7-year annualized returnVanguard Intmdt-Term Trs Idx Admiral 3-year annualized returnVanguard Intmdt-Term Trs Idx Admiral 5-year annualized returnVanguard Intmdt-Term Trs Idx Admiral 7-year annualized return
20151.31%N/AN/A1.00%N/AN/A
20162.61%N/AN/A2.31%N/AN/A
20171.53%1.43%N/A1.46%1.15%N/A
20181.41%2.18%N/A1.34%1.97%N/A
20193.26%2.46%2.12%3.04%2.37%1.88%