Citadel Multisector Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Multi-Sector Bond Account seeks current income by diversifying its assets among several fixed-income sectors, such as U.S. government obligations, U.S. corporate bonds, foreign bonds, and high-yield U.S. debt securities. The portfolio manager typically holds 35% to 65% of bond assets in securities 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. The primary objective of the account is to provide current income vs. long-term capital appreciation.

Benchmark: S&P 500 Bond Index

Core Facts

Asset Class Taxable Bond
Category Multisector Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C054
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
AdvisorShares Newfleet Multi-Sector Income ETF2.92%
JPMorgan Global Bond Opportunities ETF5.26%
Virtus Newfleet Multi-Sector Bond ETF4.32%
Columbia Diversified Fixed Income Allocation ETF3.28%
iShares Government/Credit Bond ETF2.64%
PIMCO Active Bond Exchange-Traded Fund3.38%
iShares Core Total USD Bond Market ETF3.04%
iShares Core U.S. Aggregate Bond ETF2.70%
Schwab U.S. Aggregate Bond ETF2.79%
Vanguard Total Bond Market Index Fund ETF Shares2.72%

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
BenchmarkPIMCO Fixed Income SHares C
Portfolio Performance
MetricCitadel Multisector BondPIMCO Fixed Income SHares C
Start Balance$10,000 $10,000
End Balance$10,864 $10,941
End Balance (inflation adjusted)$10,422 $10,496
CAGR4.23%4.60%
CAGR (inflation adjusted)2.09%2.45%
Stdev2.77%2.34%
Best Year9.33%9.18%
Worst Year-0.63%0.21%
Max. Drawdown-2.01%-1.35%
Sharpe Ratio0.811.11
Sortino Ratio1.582.4
US Stock Market Correlation0.080.38
Risk and Return Metrics
MetricCitadel Multisector BondPIMCO Fixed Income SHares C
Arithmetic Mean (monthly)0.35%0.38%
Arithmetic Mean (annualized)4.27%4.62%
Geometric Mean (monthly)0.35%0.38%
Geometric Mean (annualized)4.23%4.60%
Volatility (monthly)0.80%0.68%
Volatility (annualized)2.77%2.34%
Downside Deviation (monthly)0.33%0.24%
Max. Drawdown-2.01%-1.35%
US Market Correlation0.080.38
Beta (*)0.981
Alpha (annualized)-0.27%0.00%
R Squared69.14%100.00%
Sharpe Ratio0.811.11
Sortino Ratio1.582.4
Treynor Ratio (%)2.232.53
Active Return-0.37%N/A
Tracking Error1.54%N/A
Information Ratio-0.24N/A
Skewness0.450.61
Excess Kurtosis-0.310.57
Historical Value-at-Risk (5%)-0.88%-0.66%
Analytical Value-at-Risk (5%)-0.94%-0.73%
Conditional Value-at-Risk (5%)-0.90%-0.69%
Upside Capture Ratio (%)98.29100
Downside Capture Ratio (%)119.63100
Safe Withdrawal Rate50.38%50.77%
Perpetual Withdrawal Rate2.05%2.39%
Positive Periods17 out of 24 (70.83%)18 out of 24 (75.00%)
Gain/Loss Ratio1.331.5
(*) PIMCO Fixed Income SHares C is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Fixed Income Credit Quality
CategoryWeight
AAA55.69%
AA4.10%
A13.69%
BBB18.47%
Non-Investment Grade7.55%
Not Rated0.49%
Fixed Income Credit Quality
CategoryWeight
Under 1 Year0.48%
1 - 3 Years14.69%
3 - 5 Years16.47%
5 - 7 Years13.10%
7 - 10 Years15.43%
10 - 15 Years5.11%
15 - 20 Years3.93%
20 - 30 Years26.78%
Over 30 Years4.02%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan-18Oct-1810 monthsJan-193 months1 year 1 month-2.01%
2Sep-19Sep-191 monthDec-193 months4 months-0.29%

Disclosures

1. The expense ratio is the annual fee that all mutual funds or exchange-traded funds charge their shareholders. It expresses the percentage of assets deducted each fiscal year for fund expenses, including 12b-1 fees, management fees, administrative fees, operating costs, and all other asset-based costs incurred by the fund. The expense ratio for all Galleon and iCore accounts equals zero. Accounts may hold funds that charge such fees.

2. Commissions are charged by our custodian for handling transactions. Neither Global Advisers nor any of its affiliates charge commissions.

3. Fees for Galleon and iCore accounts, which range from 0.00 to 0.04, may differ from other management fees.

4. The minimum investment is the amount required initially to open the account. It does not refer to balances that may drop below the minimum after the account has been opened and funded. Custodian may charge a monthly fee for investors with household assets less than $100,000.