Citadel Long Government

Citadel Accounts: Taxable Bond

Summary

The Citadel Long 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. However, the account is not risk-free, because it exhibits durations of typically more than 6.0 years; thus, they are more sensitive to interest rates. Long term is defined as 125% of the three-year average effective duration of the MCBI.

Benchmark: S&P U.S. Treasury Bond 10-20 Year Index

Core Facts

Asset Class Taxable Bond
Category Long Government
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C052
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
PIMCO 15+ Year U.S. TIPS Index Exchange-Traded Fund1.74%
Schwab Long-Term U.S. Treasury ETF-
Invesco Exchange-Traded Fund Trust II - Invesco 1-30 Laddered Treasury ETF-
Vanguard Extended Duration Treasury Index Fund ETF Shares2.53%
iShares 10-20 Year Treasury Bond ETF2.30%
iShares 7-10 Year Treasury Bond ETF2.08%
PIMCO 25+ Year Zero Coupon U.S. Treasury Index Exchange-Traded Fund2.22%
SPDR Portfolio Long Term Treasury ETF2.44%
iShares 20+ Year Treasury Bond ETF2.26%
Vanguard Long-Term Treasury Index Fund ETF Shares2.47%

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 Date1/1/11
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Long-Term Treasury ETF
Portfolio Performance
MetricCitadel Long GovernmentVanguard Long-Term Treasury ETF
Start Balance$10,000 $10,000
End Balance$18,111 $17,845
End Balance (inflation adjusted)$15,447 $15,221
CAGR6.82%6.65%
CAGR (inflation adjusted)4.95%4.78%
Stdev11.55%11.41%
Best Year33.20%29.17%
Worst Year-13.59%-12.45%
Max. Drawdown-17.39%-16.10%
Sharpe Ratio0.580.57
Sortino Ratio1.071.04
US Stock Market Correlation-0.42-0.44
Risk and Return Metrics
MetricCitadel Long GovernmentVanguard Long-Term Treasury ETF
Arithmetic Mean (monthly)0.61%0.59%
Arithmetic Mean (annualized)7.51%7.32%
Geometric Mean (monthly)0.55%0.54%
Geometric Mean (annualized)6.82%6.65%
Volatility (monthly)3.33%3.29%
Volatility (annualized)11.55%11.41%
Downside Deviation (monthly)1.77%1.77%
Max. Drawdown-17.39%-16.10%
US Market Correlation-0.42-0.44
Beta (*)1.011
Alpha (annualized)0.13%0.00%
R Squared99.00%100.00%
Sharpe Ratio0.580.57
Sortino Ratio1.071.04
Treynor Ratio (%)6.616.48
Calmar Ratio0.790.82
Active Return0.18%N/A
Tracking Error1.16%N/A
Information Ratio0.15N/A
Skewness0.720.65
Excess Kurtosis1.120.92
Historical Value-at-Risk (5%)-3.80%-4.02%
Analytical Value-at-Risk (5%)-4.83%-4.83%
Conditional Value-at-Risk (5%)-5.47%-5.57%
Upside Capture Ratio (%)101.22100
Downside Capture Ratio (%)100.3100
Safe Withdrawal Rate14.98%14.65%
Perpetual Withdrawal Rate4.71%4.56%
Positive Periods59 out of 108 (54.63%)57 out of 108 (52.78%)
Gain/Loss Ratio1.361.45
(*) Vanguard Long-Term Treasury ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Annual Returns
YearInflationCitadel Long Government ReturnVanguard Long-Term Treasury ETF ReturnCitadel Long Government BalanceVanguard Long-Term Treasury ETF BalanceCitadel Long Government Income (%)Citadel Long Government Income ($)
20112.96%33.20%29.17%$13,320 $12,917 4.27%$427
20121.74%3.98%3.30%$13,850 $13,343 2.99%$398
20131.50%-13.59%-12.45%$11,967 $11,681 2.47%$342
20140.76%24.92%25.19%$14,949 $14,624 2.89%$346
20150.73%-2.40%-1.41%$14,591 $14,417 2.32%$346
20162.07%2.35%1.22%$14,934 $14,593 2.66%$388
20172.11%8.44%8.64%$16,194 $15,854 2.46%$367
20181.91%-2.06%-1.53%$15,860 $15,612 2.58%$418
20192.29%14.19%14.31%$18,111 $17,845 2.60%$412
Portfolio Returns Based Style Analysis
Style CategoryCitadel Long GovernmentVanguard Long-Term Treasury ETF
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.16%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets2.44%0.49%
REITs0.27%0.23%
Corporate Bonds0.12%0.00%
Long-Term Treasuries87.82%83.77%
Intermediate-Term Treasuries9.18%15.50%
Short-Term Treasuries0.00%0.00%
R Squared99.57%99.39%
Style analysis is based on monthly returns from Jan 2011 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 for Citadel Long Government
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds99.86%
Intl Bonds0.00%
Other0.00%
Cash0.14%
Fixed Income Credit Quality for Citadel Long Government
CategoryWeight
AAA100.00%
AA0.00%
A0.00%
BBB0.00%
Non-Investment Grade0.00%
Fixed Income Maturity for Citadel Long Government
CategoryWeight
Under 1 Year0.00%
1 - 3 Years0.80%
3 - 5 Years0.80%
5 - 7 Years0.82%
7 - 10 Years14.67%
10 - 15 Years2.65%
15 - 20 Years14.43%
20 - 30 Years65.82%
Over 30 Years0.00%
Drawdowns for Citadel Long Government
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug-12Dec-131 year 5 monthsNov-1411 months2 years 4 months-17.39%
2Aug-16Oct-182 years 3 monthsMay-197 months2 years 10 months-13.51%
3Feb-15Jun-155 monthsJun-161 year1 year 5 months-12.82%
4Sep-19Dec-194 months-6.41%
5Feb-12Mar-122 monthsMay-122 months4 months-5.90%
6Jan-11Jan-111 monthApr-113 months4 months-2.95%
7Oct-11Oct-111 monthDec-112 months3 months-2.86%
8Jun-11Jun-111 monthJul-111 month2 months-1.98%
9Jun-12Jun-121 monthJul-121 month2 months-1.41%
Rolling Returns
YearCitadel Long Government 3-year annualized returnCitadel Long Government 5-year annualized returnCitadel Long Government 7-year annualized returnVanguard Long-Term Treasury ETF 3-year annualized returnVanguard Long-Term Treasury ETF 5-year annualized returnVanguard Long-Term Treasury ETF 7-year annualized return
20136.17%N/AN/A5.32%N/AN/A
20143.92%N/AN/A4.22%N/AN/A
20151.75%7.85%N/A2.61%7.59%N/A
20167.66%2.31%N/A7.70%2.47%N/A
20172.70%3.18%7.13%2.73%3.51%6.80%
20182.82%5.79%2.52%2.69%5.97%2.74%
20196.64%3.91%3.91%6.94%4.06%4.24%