Citadel Stable Value

Citadel Accounts: Taxable Bond

Summary

The Citadel Stable Value Account seeks to provide current income while preventing price fluctuations. The portfolio manager invests in a diversified portfolio of marketable securities, and may enter into wrap agreements with financial companies to guarantee against fluctuations in their share prices. Wrap agreements typically provide price stability on a day-to-day basis, thereby insulating the accounts net asset value from interest-rate volatility.

Benchmark: S&P 500 Bond Index

Core Facts

Asset Class Taxable Bond
Category Stable Value
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $1000 US
Account number C059
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
T. Rowe Price Value Fund1.69%
Deep Value ETF3.49%
Alpha Architect U.S. Quantitative Value ETF1.78%
Cambria Global Value ETF2.85%
iShares MSCI EAFE Value ETF4.61%
SPDR S&P Telecom ETF0.92%
Utilities Select Sector SPDR Fund2.95%
Vanguard Small-Cap Value Index Fund ETF Shares2.06%
iShares Russell Mid-Cap Value ETF1.96%
SPDR Portfolio S&P 500 Value ETF2.25%

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 annually
Reinvest DividendsYes
BenchmarkWisdomTree Yield Enhanced US Aggt Bd ETF
Portfolio Performance
MetricCitadel Stable ValueWisdomTree Yield Enhanced US Aggt Bd ETF
Start Balance$10,000 $10,000
End Balance$15,112 $12,067
End Balance (inflation adjusted)$13,909 $11,107
CAGR10.87%4.81%
CAGR (inflation adjusted)8.60%2.66%
Stdev11.79%3.75%
Best Year21.41%11.77%
Worst Year-9.80%-1.69%
Max. Drawdown-13.39%-3.94%
Sharpe Ratio0.830.93
Sortino Ratio1.231.57
US Stock Market Correlation0.95-0.02
Risk and Return Metrics
MetricCitadel Stable ValueWisdomTree Yield Enhanced US Aggt Bd ETF
Arithmetic Mean (monthly)0.92%0.40%
Arithmetic Mean (annualized)11.63%4.88%
Geometric Mean (monthly)0.86%0.39%
Geometric Mean (annualized)10.87%4.81%
Volatility (monthly)3.40%1.08%
Volatility (annualized)11.79%3.75%
Downside Deviation (monthly)2.23%0.60%
Max. Drawdown-13.39%-3.94%
US Market Correlation0.95-0.02
Beta (*)-0.181
Alpha (annualized)11.89%0.00%
R Squared0.31%100.00%
Sharpe Ratio0.830.93
Sortino Ratio1.231.57
Treynor Ratio (%)-55.393.48
Calmar Ratio0.661.33
Active Return6.06%N/A
Tracking Error12.58%N/A
Information Ratio0.48N/A
Skewness-0.66-0.26
Excess Kurtosis1.811.23
Historical Value-at-Risk (5%)-6.85%-1.56%
Analytical Value-at-Risk (5%)-4.61%-1.38%
Conditional Value-at-Risk (5%)-8.25%-2.27%
Upside Capture Ratio (%)113.08100
Downside Capture Ratio (%)-72.57100
Safe Withdrawal Rate31.28%26.24%
Perpetual Withdrawal Rate7.92%2.59%
Positive Periods36 out of 48 (75.00%)35 out of 48 (72.92%)
Gain/Loss Ratio0.711.02
(*) WisdomTree Yield Enhanced US Aggt Bd ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryCitadel Stable ValueWisdomTree Yield Enhanced US Aggt Bd ETF
Large-cap Value32.60%0.00%
Large-cap Growth4.52%0.36%
Mid-cap Value32.35%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.43%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets12.73%2.90%
Emerging Markets9.97%0.00%
REITs1.15%0.00%
Corporate Bonds0.00%42.08%
Long-Term Treasuries0.00%5.44%
Intermediate-Term Treasuries0.00%19.18%
Short-Term Treasuries6.24%30.04%
R Squared96.30%98.07%
Style analysis is based on monthly returns from Jan 2016 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 Stocks78.44%
Intl Stocks20.84%
US Bonds0.02%
Intl Bonds0.00%
Other0.11%
Cash0.61%
Equity Market Capitalization
CategoryWeight
Large Cap47.84%
Mid Cap39.04%
Small Cap13.12%
Stock Sectors
CategoryWeight
Basic Materials5.92%
Consumer Cyclical11.41%
Financial Services14.97%
Real Estate4.37%
Consumer Defensive3.98%
Healthcare7.14%
Utilities15.47%
Communication Services7.61%
Energy5.58%
Industrials11.53%
Technology12.02%
Fixed Income Maturity
CategoryWeight
Under 1 Year50.00%
1 - 3 Years0.00%
3 - 5 Years0.00%
5 - 7 Years0.00%
7 - 10 Years0.00%
10 - 15 Years0.00%
15 - 20 Years0.00%
20 - 30 Years50.00%
Over 30 Years0.00%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb-18Dec-1811 monthsOct-1910 months1 year 9 months-13.39%
2Jan-16Jan-161 monthMar-162 months3 months-5.58%
3Oct-16Oct-161 monthNov-161 month2 months-1.33%
4May-16May-161 monthJun-161 month2 months-0.37%
5Aug-17Aug-171 monthSep-171 month2 months-0.33%