Citadel Long-Term Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Long-Term Bond Account primarily invests in corporate and other investment-grade U.S. fixed-income issues, and typically has durations of more than 6.0 years. The portfolio manager focuses on holding bonds that exhibit long durations; thus, the account is exposed to greater interest-rate risk. Long-term is defined as 125% of the three-year average effective duration of the MCBI.

Benchmark: S&P 500 10+ Year Investment Grade Corporate Bond Index

Core Facts

Asset Class Taxable Bond
Category Long-Term Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C053
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
iShares Broad USD Investment Grade Corporate Bond ETF3.37%
Vanguard Long-Term Treasury Index Fund ETF Shares2.47%
FlexShares Credit-Scored US Long Corporate Bond Index Fund3.77%
Vanguard Long-Term Corporate Bond Index Fund ETF Shares3.84%
iShares Core 10+ Year USD Bond ETF3.45%
iShares Long-Term Corporate Bond ETF3.74%
SPDR Portfolio Long Term Corporate Bond ETF3.80%
Vanguard Long-Term Bond Index Fund ETF Shares3.41%

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 Date1/1/16
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Long-Term Bond ETF
Portfolio Performance
MetricCitadel Long-Term BondVanguard Long-Term Bond ETF
Start Balance$10,000 $10,000
End Balance$13,485 $13,491
End Balance (inflation adjusted)$12,412 $12,418
CAGR7.76%7.77%
CAGR (inflation adjusted)5.55%5.56%
Stdev7.59%8.56%
Best Year20.03%18.99%
Worst Year-5.26%-4.17%
Max. Drawdown-8.85%-10.26%
Sharpe Ratio0.860.77
Sortino Ratio1.461.35
US Stock Market Correlation0.03-0.11
Risk and Return Metrics
MetricCitadel Long-Term BondVanguard Long-Term Bond ETF
Arithmetic Mean (monthly)0.65%0.66%
Arithmetic Mean (annualized)8.06%8.15%
Geometric Mean (monthly)0.62%0.63%
Geometric Mean (annualized)7.76%7.77%
Volatility (monthly)2.19%2.47%
Volatility (annualized)7.59%8.56%
Downside Deviation (monthly)1.24%1.36%
Max. Drawdown-8.85%-10.26%
US Market Correlation0.03-0.11
Beta (*)0.871
Alpha (annualized)0.94%0.00%
R Squared95.95%100.00%
Sharpe Ratio0.860.77
Sortino Ratio1.461.35
Treynor Ratio (%)7.476.57
Calmar Ratio0.950.95
Active Return-0.01%N/A
Tracking Error1.89%N/A
Information Ratio-0.01N/A
Skewness-0.060.24
Excess Kurtosis1.321.78
Historical Value-at-Risk (5%)-3.43%-3.18%
Analytical Value-at-Risk (5%)-2.92%-3.41%
Conditional Value-at-Risk (5%)-4.56%-4.76%
Upside Capture Ratio (%)91.29100
Downside Capture Ratio (%)84.3100
Safe Withdrawal Rate27.92%27.94%
Perpetual Withdrawal Rate5.26%5.27%
Positive Periods31 out of 48 (64.58%)31 out of 48 (64.58%)
Gain/Loss Ratio1.241.14
(*) Vanguard Long-Term Bond ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryCitadel Long-Term BondVanguard Long-Term Bond ETF
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.02%0.00%
Emerging Markets6.81%4.76%
REITs1.10%0.00%
Corporate Bonds57.05%42.29%
Long-Term Treasuries35.02%52.94%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared96.05%97.04%
Style analysis is based on monthly returns from Jan 2016 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 Bonds84.69%
Intl Bonds14.00%
Other0.56%
Cash0.75%
Fixed Income Credit Quality
CategoryWeight
AAA24.99%
AA6.03%
A29.01%
BBB39.42%
Non-Investment Grade0.55%
Not Rated0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year0.00%
1 - 3 Years2.16%
3 - 5 Years2.31%
5 - 7 Years1.74%
7 - 10 Years2.12%
10 - 15 Years6.64%
15 - 20 Years17.07%
20 - 30 Years63.90%
Over 30 Years4.08%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep-16Nov-163 monthsDec-171 year 1 month1 year 4 months-8.85%
2Jan-18Oct-1810 monthsMar-195 months1 year 3 months-8.33%
3Sep-19Oct-192 months-1.53%
4Apr-19Apr-191 monthMay-191 month2 months-0.17%
5May-16May-161 monthJun-161 month2 months-0.06%