Citadel Ultrashort Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel Ultrashort Bond Account primarily invests in investment-grade U.S. fixed-income issues, and typically has durations of less than one year. The portfolio manager focuses on either corporate or government ultrashort bond portfolios, but excludes international, convertible, multi-sector, and high-yield bonds. The account exhibits minimal interest-rate sensitivity because it focuses on bonds with very short durations. Thus, the account represents a very low-risk and total return potential. Ultrashort is defined as 25% of the three-year average effective duration of the MCBI.

Benchmark: S&P U.S. Treasury Bond 0-1 Year Index

Core Facts

Asset Class Taxable Bond
Category Ultrashort Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $10,000 US
Account number C060
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
JPMorgan Managed Income Fund L Class Shares2.52%
SEI Institutional Investments Trust Ultra Short Duration Bond Fund Class A3.00%
Western Asset Adjustable Rate Income Fund Class A2.92%
ETFMG Sit Short Term ETF-
Invesco Treasury Collateral ETF2.23%
iShares Ultra Short-Term Bond ETF2.61%
Goldman Sachs Access Treasury 0-1 Year ETF2.20%
SPDR Bloomberg Barclays 1-3 Month T-Bill ETF2.05%
JPMorgan Ultra-Short Income ETF2.69%
iShares Short Treasury Bond ETF2.19%

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$10,000.00
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkVanguard Ultra-Short-Term Bond Investor
Portfolio Performance
MetricCitadel Ultrashort BondVanguard Ultra-Short-Term Bond Investor
Start Balance$10,000.00$10,000.00
End Balance$10,482.00$10,535.00
End Balance (inflation adjusted)$10,056.00$10,106.00
CAGR2.38%2.64%
CAGR (inflation adjusted)0.28%0.53%
Stdev0.24%0.44%
Best Year2.88%3.34%
Worst Year1.89%1.95%
Max. Drawdown0.00%0.00%
Sharpe Ratio1.911.6
Sortino Ratio4.734.31
US Stock Market Correlation0.290.01
Risk and Return Metrics
MetricCitadel Ultrashort BondVanguard Ultra-Short-Term Bond Investor
Arithmetic Mean (monthly)0.20%0.22%
Arithmetic Mean (annualized)2.38%2.64%
Geometric Mean (monthly)0.20%0.22%
Geometric Mean (annualized)2.38%2.64%
Volatility (monthly)0.07%0.13%
Volatility (annualized)0.24%0.44%
Downside Deviation (monthly)0.00%0.00%
Max. Drawdown0.00%0.00%
US Market Correlation0.290.01
Beta (*)0.451
Alpha (annualized)1.18%0.00%
R Squared66.89%100.00%
Sharpe Ratio1.911.6
Sortino Ratio4.734.31
Treynor Ratio (%)0.80.61
Active Return-0.26%N/A
Tracking Error0.28%N/A
Information Ratio-0.92N/A
Skewness0.130.29
Excess Kurtosis0.09-0.96
Historical Value-at-Risk (5%)0.00%0.00%
Analytical Value-at-Risk (5%)0.08%0.01%
Conditional Value-at-Risk (5%)0.00%0.00%
Upside Capture Ratio (%)90.26100
Downside Capture Ratio (%)N/AN/A
Safe Withdrawal Rate50.13%50.27%
Perpetual Withdrawal Rate0.28%0.53%
Positive Periods24 out of 24 (100.00%)24 out of 24 (100.00%)
Gain/Loss RatioN/AN/A
(*) Vanguard Ultra-Short-Term Bond Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.00%
Intl Stocks0.00%
US Bonds51.54%
Intl Bonds11.40%
Other1.49%
Cash35.57%
Fixed Income Credit Quality
CategoryWeight
AAA50.49%
AA8.98%
A24.21%
BBB12.55%
Non-Investment Grade0.96%
Not Rated2.81%
Fixed Income Maturity
CategoryWeight
Under 1 Year53.59%
1 - 3 Years28.36%
3 - 5 Years5.54%
5 - 7 Years1.25%
7 - 10 Years3.75%
10 - 15 Years2.10%
15 - 20 Years1.74%
20 - 30 Years2.38%
Over 30 Years1.30%