Citadel Preferred Stock

Citadel Accounts: Taxable Bond

Summary

The Citadel Preferred Stock Account concentrates on preferred stocks and perpetual bonds. The account tends to have more credit risk than government or agency backed bonds, and the effective duration is longer than other bond portfolios. The portfolio manager holds more than 65% of assets in preferred stocks and perpetual bonds, with the remainder in short to mid-term U.S. debt.

Benchmark: S&P U.S. Preferred Stock Index (TR)

Core Facts

Asset Class Taxable Bond
Category Preferred Stock
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.25%
Minimum investment [4] $1000 US
Account number C056
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
Global X SuperIncome Preferred ETF5.96%
iShares International Preferred Stock ETF4.38%
First Trust Preferred Securities and Income ETF5.34%
Principal Spectrum Preferred Securities Active ETF4.76%
Invesco Variable Rate Preferred ETF5.15%
Invesco Financial Preferred ETF5.15%
Invesco Preferred ETF5.32%
InfraCap REIT Preferred ETF6.62%
VanEck Vectors Preferred Securities ex Financials ETF4.61%
iShares Preferred and Income Securities ETF5.32%

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
BenchmarkiShares Core US Aggregate Bond ETF
Portfolio Performance
MetricCitadel Preferred StockiShares Core US Aggregate Bond ETF
Start Balance$10,000 $10,000
End Balance$10,952 $10,882
End Balance (inflation adjusted)$10,507 $10,439
CAGR4.65%4.32%
CAGR (inflation adjusted)2.50%2.17%
Stdev5.57%3.67%
Best Year16.24%8.45%
Worst Year-5.78%0.33%
Max. Drawdown-6.92%-2.39%
Sharpe Ratio0.490.64
Sortino Ratio0.891.3
US Stock Market Correlation0.65-0.24
Risk and Return Metrics
MetricCitadel Preferred StockiShares Core US Aggregate Bond ETF
Arithmetic Mean (monthly)0.39%0.36%
Arithmetic Mean (annualized)4.80%4.38%
Geometric Mean (monthly)0.38%0.35%
Geometric Mean (annualized)4.65%4.32%
Volatility (monthly)1.61%1.06%
Volatility (annualized)5.57%3.67%
Downside Deviation (monthly)0.79%0.43%
Max. Drawdown-6.92%-2.39%
US Market Correlation0.65-0.24
Beta (*)0.161
Alpha (annualized)4.03%0.00%
R Squared1.05%100.00%
Sharpe Ratio0.490.64
Sortino Ratio0.891.3
Treynor Ratio (%)17.382.3
Active Return0.34%N/A
Tracking Error6.35%N/A
Information Ratio0.05N/A
Skewness1.160.77
Excess Kurtosis4.030.02
Historical Value-at-Risk (5%)-2.27%-1.10%
Analytical Value-at-Risk (5%)-2.20%-1.38%
Conditional Value-at-Risk (5%)-2.29%-1.13%
Upside Capture Ratio (%)58.71100
Downside Capture Ratio (%)-15.97100
Safe Withdrawal Rate49.18%50.67%
Perpetual Withdrawal Rate2.44%2.13%
Positive Periods13 out of 24 (54.17%)13 out of 24 (54.17%)
Gain/Loss Ratio1.712.2
(*) iShares Core US Aggregate Bond ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks2.15%
Intl Stocks0.62%
US Bonds12.91%
Intl Bonds5.14%
Other77.39%
Cash1.80%
Equity Market Capitalization
CategoryWeight
Large Cap100.00%
Mid Cap0.00%
Small Cap0.00%
Stock Sectors
CategoryWeight
Basic Materials6.24%
Consumer Cyclical0.00%
Financial Services24.56%
Real Estate0.27%
Consumer Defensive0.00%
Healthcare0.39%
Utilities64.14%
Communication Services0.00%
Energy0.00%
Industrials4.39%
Technology0.00%
Fixed Income Credit Quality
CategoryWeight
AAA0.14%
AA0.00%
A2.78%
BBB62.00%
Non-Investment Grade33.35%
Not Rated1.73%
Fixed Income Maturity
CategoryWeight
Under 1 Year0.00%
1 - 3 Years0.00%
3 - 5 Years0.42%
5 - 7 Years0.00%
7 - 10 Years0.79%
10 - 15 Years0.91%
15 - 20 Years2.62%
20 - 30 Years22.75%
Over 30 Years72.51%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
118-Sep18-Dec4 months19-Mar3 months7 months-6.92%
218-Jan18-Apr4 months18-Jul3 months7 months-1.73%
319-Nov19-Nov1 month19-Dec1 month2 months-0.26%
419-May19-May1 month19-Jun1 month2 months-0.09%
519-Aug19-Aug1 month19-Sep1 month2 months-0.03%