Citadel Short-Term Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Short-Term Bond Account primarily invests in corporate and other investment-grade U.S. fixed-income issues, and typically has durations of 1.0 to 3.5 years. The portfolio manager focuses on investment grade bonds from leading corporations. The account is suitable for investors with low tolerance for risk (conservative) as it is less-sensitive to interest rates as compared to portfolios with longer durations. Short-term 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-Term Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C058
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
Morgan Stanley Institutional Fund Trust Short Duration Income Portfolio Class I2.51%
SPDR SSgA Ultra Short Term Bond ETF2.56%
Vanguard Short-Term Investment-Grade Fund Investor Shares2.82%
iShares Core 1-5 Year USD Bond ETF2.75%
Vanguard Short-Term Corporate Bond Index Fund ETF Shares2.88%
iShares ESG 1-5 Year USD Corporate Bond ETF2.83%
iShares Short-Term Corporate Bond ETF3.07%
iShares 0-5 Year Investment Grade Corporate Bond ETF2.87%
SPDR Portfolio Short Term Corporate Bond ETF2.77%
Vanguard Short-Term Bond Index Fund ETF Shares2.29%

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 Date1/1/14
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Short-Term Bond Index Inv
Portfolio Performance
MetricCitadel Short-Term BondVanguard Short-Term Bond Index Inv
Start Balance$10,000 $10,000
End Balance$11,367 $11,097
End Balance (inflation adjusted)$10,309 $10,064
CAGR2.16%1.75%
CAGR (inflation adjusted)0.51%0.11%
Stdev1.05%1.38%
Best Year5.45%4.77%
Worst Year0.75%0.85%
Max. Drawdown-0.75%-1.46%
Sharpe Ratio1.260.65
Sortino Ratio2.721.17
US Stock Market Correlation0.1-0.25
Risk and Return Metrics
MetricCitadel Short-Term BondVanguard Short-Term Bond Index Inv
Arithmetic Mean (monthly)0.18%0.15%
Arithmetic Mean (annualized)2.16%1.76%
Geometric Mean (monthly)0.18%0.14%
Geometric Mean (annualized)2.16%1.75%
Volatility (monthly)0.30%0.40%
Volatility (annualized)1.05%1.38%
Downside Deviation (monthly)0.11%0.18%
Max. Drawdown-0.75%-1.46%
US Market Correlation0.1-0.25
Beta (*)0.671
Alpha (annualized)0.98%0.00%
R Squared76.50%100.00%
Sharpe Ratio1.260.65
Sortino Ratio2.721.17
Treynor Ratio (%)1.90.87
Calmar Ratio3.691.62
Active Return0.41%N/A
Tracking Error0.69%N/A
Information Ratio0.59N/A
Skewness0.510.42
Excess Kurtosis0.670.48
Historical Value-at-Risk (5%)-0.25%-0.39%
Analytical Value-at-Risk (5%)-0.32%-0.51%
Conditional Value-at-Risk (5%)-0.39%-0.65%
Upside Capture Ratio (%)91.32100
Downside Capture Ratio (%)39.55100
Safe Withdrawal Rate16.82%16.62%
Perpetual Withdrawal Rate0.50%0.11%
Positive Periods52 out of 72 (72.22%)45 out of 72 (62.50%)
Gain/Loss Ratio1.991.59
(*) Vanguard Short-Term Bond Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryCitadel Short-Term BondVanguard Short-Term Bond Index Inv
Large-cap Value0.35%0.00%
Large-cap Growth0.79%0.00%
Mid-cap Value0.33%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.30%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets1.49%0.38%
Emerging Markets0.00%0.00%
REITs0.00%0.00%
Corporate Bonds7.14%5.05%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%7.67%
Short-Term Treasuries89.61%86.90%
R Squared85.23%96.73%
Style analysis is based on monthly returns from Jan 2014 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 Bonds74.12%
Intl Bonds19.43%
Other2.17%
Cash4.27%
Fixed Income Credit Quality
CategoryWeight
AAA23.93%
AA9.35%
A31.73%
BBB32.21%
Non-Investment Grade0.99%
Not Rated1.79%
Fixed Income Maturity
CategoryWeight
Under 1 Year6.26%
1 - 3 Years56.91%
3 - 5 Years30.68%
5 - 7 Years1.47%
7 - 10 Years0.53%
10 - 15 Years0.76%
15 - 20 Years0.50%
20 - 30 Years1.59%
Over 30 Years1.31%
Drawdowns (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep-17Feb-186 monthsAug-186 months1 year-0.75%
2Oct-16Nov-162 monthsFeb-173 months5 months-0.69%
3Nov-15Dec-152 monthsFeb-162 months4 months-0.27%
4Sep-14Sep-141 monthOct-141 month2 months-0.25%
5Jun-15Aug-153 monthsSep-151 month4 months-0.20%
6Jun-14Jul-142 monthsAug-141 month3 months-0.18%
7Dec-14Dec-141 monthJan-151 month2 months-0.15%
8Mar-14Mar-141 monthApr-141 month2 months-0.10%
9Feb-15Feb-151 monthMar-151 month2 months-0.09%
10Aug-16Aug-161 monthSep-161 month2 months-0.08%
Rolling Returns
YearCitadel Short-Term Bond 3-year annualized returnCitadel Short-Term Bond 5-year annualized returnVanguard Short-Term Bond Index Inv 3-year annualized returnVanguard Short-Term Bond Index Inv 5-year annualized return
20161.55%N/A1.14%N/A
20171.68%N/A1.12%N/A
20181.88%1.51%1.26%1.16%
20192.77%2.35%2.36%1.87%