Citadel Short Government

Citadel Accounts: Taxable Bond

Summary

The Citadel Short 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. Thus, the account is structure to minimize risk as the U.S. government is unlikely to default on its debt. It exhibits durations typically between 1.0 and 3.5 years, rendering it relatively less-sensitivity to interest rates and, thus, low risk potential.  Short is defined as 25% to 75% of the three-year average effective duration of the MCBI.

Benchmark: S&P U.S. Treasury Bond 1-3 Year Index

Core Facts

Asset Class Taxable Bond
Category Short Government
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C057
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 Treasury Floating Rate Bond ETF2.08%
iShares Agency Bond ETF2.32%
PIMCO 1-3 Year U.S. Treasury Index Exchange-Traded Fund2.00%
iShares 1-3 Year International Treasury Bond ETF0.00%
SPDR Blmbg Barclays ST Treasury ETF-
WisdomTree Floating Rate Treasury Fund2.08%
SPDR Portfolio Short Term Treasury ETF2.21%
Schwab Short-Term U.S. Treasury ETF2.26%
Vanguard Short-Term Treasury Index Fund ETF Shares2.28%
iShares 1-3 Year Treasury Bond ETF2.12%

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 Date1/1/15
End Date11/30/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Short-Term Treasury ETF
Portfolio Performance
MetricCitadel Short GovernmentVanguard Short-Term Treasury ETF
Start Balance$10,000 $10,000
End Balance$10,538 $10,664
End Balance (inflation adjusted)$9,620 $9,736
CAGR1.07%1.32%
CAGR (inflation adjusted)-0.78%-0.54%
Stdev1.22%1.00%
Best Year2.51%3.31%
Worst Year-0.51%0.04%
Max. Drawdown-1.58%-0.82%
Sharpe Ratio0.030.29
Sortino Ratio0.050.51
US Stock Market Correlation-0.17-0.36
Risk and Return Metrics
MetricCitadel Short GovernmentVanguard Short-Term Treasury ETF
Arithmetic Mean (monthly)0.09%0.11%
Arithmetic Mean (annualized)1.08%1.32%
Geometric Mean (monthly)0.09%0.11%
Geometric Mean (annualized)1.07%1.32%
Volatility (monthly)0.35%0.29%
Volatility (annualized)1.22%1.00%
Downside Deviation (monthly)0.21%0.11%
Max. Drawdown-1.58%-0.82%
US Market Correlation-0.17-0.36
Beta (*)0.831
Alpha (annualized)-0.02%0.00%
R Squared46.31%100.00%
Sharpe Ratio0.030.29
Sortino Ratio0.050.51
Treynor Ratio (%)0.050.28
Calmar Ratio3.382.13
Active Return-0.24%N/A
Tracking Error0.91%N/A
Information Ratio-0.27N/A
Skewness-0.410.79
Excess Kurtosis0.420.29
Historical Value-at-Risk (5%)-0.47%-0.23%
Analytical Value-at-Risk (5%)-0.49%-0.36%
Conditional Value-at-Risk (5%)-0.82%-0.39%
Upside Capture Ratio (%)88.37100
Downside Capture Ratio (%)101.37100
Safe Withdrawal Rate24.31%24.49%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods36 out of 59 (61.02%)34 out of 59 (57.63%)
Gain/Loss Ratio1.212.1
(*) Vanguard Short-Term Treasury ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
20192.38%2.51%3.31%$10,538 $10,664 1.64%$168
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds74.20%
Intl Bonds11.88%
Other0.00%
Cash1.42%
Unknown12.50%
Fixed Income Credit Quality
CategoryWeight
AAA90.56%
AA3.53%
A4.22%
BBB1.70%
Non-Investment Grade0.00%
Fixed Income Maturity
CategoryWeight
Under 1 Year4.80%
1 - 3 Years88.09%
3 - 5 Years2.75%
5 - 7 Years1.62%
7 - 10 Years1.11%
10 - 15 Years0.34%
15 - 20 Years1.02%
20 - 30 Years0.24%
Over 30 Years0.02%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
116-Aug16-Dec5 months17-Jul7 months1 year-1.58%
215-Feb15-Nov10 months16-Feb3 months1 year 1 month-0.86%
318-Apr18-Oct7 months18-Dec2 months9 months-0.52%
417-Sep17-Oct2 months18-Mar5 months7 months-0.42%
516-May16-May1 month16-Jun1 month2 months-0.37%
619-Sep19-Sep1 month19-Oct1 month2 months-0.19%
719-Jul19-Jul1 month19-Aug1 month2 months-0.19%
819-Nov19-Nov1 month-0.14%
919-Feb19-Feb1 month19-Mar1 month2 months-0.06%