Citadel Nontraditional Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Nontraditional Bond Account pursues strategies divergent in one or more ways from conventional practice in the broader bond-fund universe. The portfolio manager tactically manages short to mid-term bonds from many different economies in order to minimize volatility normally associated with changes in global interest rates. The account may utilize credit default swaps and other fixed income derivatives to a significant level in order to achieve its goal, which is to produce current income and reduce short term volatility.

Benchmark: S&P U.S. Aggregate Bond Index

Core Facts

Asset Class Taxable Bond
Category Nontraditional Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C055
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
PIMCO Dynamic Bond Fund Institutional Class5.14%
Putnam Diversified Income Trust Class A4.17%
T. Rowe Price Dynamic Global Bond Fund Advisor Class2.25%
Templeton Global Total Return Fund Advisor Class6.96%
Navigator Tactical Fixed Income Fund Class I2.32%
Guggenheim Macro Opportunities Fund Institutional Class3.29%
PIMCO Mortgage Opportunities and Bond Fund Institutional Class4.39%
JPMorgan Strategic Income Opportunities Fund Class I Shares2.85%
Templeton Global Bond Fund Class A6.12%
BlackRock Strategic Income Opportunities Portfolio Institutional Shares3.37%

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
BenchmarkEaton Vance Short Duration Strat Inc A
Portfolio Performance
MetricCitadel Nontraditional BondEaton Vance Short Duration Strat Inc A
Start Balance$10,000 $10,000
End Balance$11,802 $11,779
End Balance (inflation adjusted)$10,863 $10,842
CAGR4.23%4.18%
CAGR (inflation adjusted)2.09%2.04%
Stdev2.36%2.97%
Best Year7.65%9.32%
Worst Year0.73%-2.68%
Max. Drawdown-1.89%-4.00%
Sharpe Ratio1.190.95
Sortino Ratio2.431.62
US Stock Market Correlation0.480.7
Risk and Return Metrics
MetricCitadel Nontraditional BondEaton Vance Short Duration Strat Inc A
Arithmetic Mean (monthly)0.35%0.35%
Arithmetic Mean (annualized)4.26%4.22%
Geometric Mean (monthly)0.35%0.34%
Geometric Mean (annualized)4.23%4.18%
Volatility (monthly)0.68%0.86%
Volatility (annualized)2.36%2.97%
Downside Deviation (monthly)0.29%0.46%
Max. Drawdown-1.89%-4.00%
US Market Correlation0.480.7
Beta (*)0.611
Alpha (annualized)1.65%0.00%
R Squared59.02%100.00%
Sharpe Ratio1.190.95
Sortino Ratio2.431.62
Treynor Ratio (%)4.732.85
Calmar Ratio3.180.93
Active Return0.05%N/A
Tracking Error1.90%N/A
Information Ratio0.03N/A
Skewness0.38-0.3
Excess Kurtosis1.20.95
Historical Value-at-Risk (5%)-0.90%-1.24%
Analytical Value-at-Risk (5%)-0.76%-1.07%
Conditional Value-at-Risk (5%)-1.06%-1.88%
Upside Capture Ratio (%)80.13100
Downside Capture Ratio (%)43.02100
Safe Withdrawal Rate26.74%26.20%
Perpetual Withdrawal Rate2.05%2.00%
Positive Periods37 out of 48 (77.08%)33 out of 48 (68.75%)
Gain/Loss Ratio1.231.31
(*) Eaton Vance Short Duration Strat Inc A is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Annual Returns
YearInflationCitadel Nontraditional Bond ReturnEaton Vance Short Duration Strat Inc A ReturnCitadel Nontraditional Bond BalanceEaton Vance Short Duration Strat Inc A BalanceCitadel Nontraditional Bond Income (%)Citadel Nontraditional Bond Income ($)
20162.07%7.65%5.54%$10,765 $10,554 4.14%$414
20172.11%4.11%4.90%$11,207 $11,071 3.89%$418
20181.91%0.73%-2.68%$11,289 $10,775 4.17%$467
20192.29%4.55%9.32%$11,802 $11,779 4.18%$472
Asset Allocation for Citadel Nontraditional Bond
CategoryWeight
US Stocks0.17%
Intl Stocks0.07%
US Bonds54.08%
Intl Bonds28.28%
Other4.16%
Cash13.24%
Fixed Income Credit Quality for Citadel Nontraditional Bond
CategoryWeight
AAA30.11%
AA5.80%
A16.39%
BBB17.84%
Non-Investment Grade22.47%
Not Rated7.38%
Fixed Income Maturity for Citadel Nontraditional Bond
CategoryWeight
Under 1 Year10.25%
1 - 3 Years24.33%
3 - 5 Years14.23%
5 - 7 Years7.66%
7 - 10 Years11.36%
10 - 15 Years3.45%
15 - 20 Years6.36%
20 - 30 Years14.00%
Over 30 Years8.38%
Drawdowns for Citadel Nontraditional Bond
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan-16Feb-162 monthsMar-161 month3 months-1.89%
2Aug-19Aug-191 monthDec-194 months5 months-0.98%
3Aug-18Aug-181 monthJan-195 months6 months-0.81%
4May-18Jun-182 monthsJul-181 month3 months-0.67%
5Feb-18Feb-181 monthApr-182 months3 months-0.22%
6May-19May-191 monthJun-191 month2 months-0.11%
7Dec-17Dec-171 monthJan-181 month2 months-0.11%