Citadel World Bond

Citadel Accounts: Taxable Bond

Summary

The Citadel World Bond Account invests 40% or more of its assets in foreign bonds. The portfolio manager generally favors high-quality bonds from developed markets; however, the account may hold some (20% or less) lower-quality bonds from developed or emerging markets. The account seeks current income vs. long-term capital appreciation.

Benchmark: S&P Global Developed Aggregate Ex-Collateralized Bond Index (USD)

Core Facts

Asset Class Taxable Bond
Category World Bond
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.20%
Minimum investment [4] $10,000 US
Account number C061
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
Templeton Global Total Return Fund Class A6.71%
PIMCO Global Advantage Strategy Bond Fund Class A2.39%
The Hartford World Bond Fund Class A2.33%
Payden Global Low Duration Fund2.74%
PGIM Global Total Return Fund - Class A3.30%
GuideStone Funds Global Bond Fund Investor Class3.28%
Invesco International Corporate Bond ETF1.45%
iShares International Treasury Bond ETF0.24%
SPDR Bloomberg Barclays International Treasury Bond ETF1.16%
SPDR Bloomberg Barclays International Corporate Bond ETF0.67%

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 Date1/1/12
End Date12/31/19
Initial Balance$10,000.00
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkInvesco International Corporate Bond ETF
Portfolio Performance
MetricCitadel World BondInvesco International Corporate Bond ETF
Start Balance$10,000.00$10,000.00
End Balance$12,283.00$12,234.00
End Balance (inflation adjusted)$10,787.00$10,744.00
CAGR2.60%2.55%
CAGR (inflation adjusted)0.95%0.90%
Stdev4.43%7.55%
Best Year10.72%15.79%
Worst Year-5.33%-9.29%
Max. Drawdown-9.79%-16.42%
Sharpe Ratio0.450.28
Sortino Ratio0.690.42
US Stock Market Correlation0.410.48
Risk and Return Metrics
MetricCitadel World BondInvesco International Corporate Bond ETF
Arithmetic Mean (monthly)0.22%0.23%
Arithmetic Mean (annualized)2.70%2.84%
Geometric Mean (monthly)0.21%0.21%
Geometric Mean (annualized)2.60%2.55%
Volatility (monthly)1.28%2.18%
Volatility (annualized)4.43%7.55%
Downside Deviation (monthly)0.82%1.44%
Max. Drawdown-9.79%-16.42%
US Market Correlation0.410.48
Beta (*)0.541
Alpha (annualized)1.15%0.00%
R Squared85.32%100.00%
Sharpe Ratio0.450.28
Sortino Ratio0.690.42
Treynor Ratio (%)3.682.13
Calmar Ratio0.90.46
Active Return0.05%N/A
Tracking Error3.85%N/A
Information Ratio0.01N/A
Skewness-0.24-0.14
Excess Kurtosis0.280.44
Historical Value-at-Risk (5%)-2.44%-3.32%
Analytical Value-at-Risk (5%)-1.87%-3.35%
Conditional Value-at-Risk (5%)-2.80%-4.67%
Upside Capture Ratio (%)58.28100
Downside Capture Ratio (%)48.78100
Safe Withdrawal Rate13.16%13.39%
Perpetual Withdrawal Rate0.94%0.89%
Positive Periods57 out of 96 (59.38%)51 out of 96 (53.13%)
Gain/Loss Ratio1.061.16
(*) Invesco International Corporate Bond ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks0.04%
Intl Stocks0.01%
US Bonds44.59%
Intl Bonds62.63%
Other1.78%
Cash-9.04%
Fixed Income Credit Quality
CategoryWeight
AAA22.23%
AA15.29%
A26.52%
BBB25.76%
Non-Investment Grade7.07%
Not Rated3.14%
Fixed Income Maturity
CategoryWeight
Under 1 Year12.74%
1 - 3 Years20.28%
3 - 5 Years17.66%
5 - 7 Years12.53%
7 - 10 Years13.97%
10 - 15 Years7.86%
15 - 20 Years5.01%
20 - 30 Years7.05%
Over 30 Years2.91%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul-14Jan-161 year 7 monthsJul-171 year 6 months3 years 1 month-9.79%
2May-13Jun-132 monthsFeb-148 months10 months-4.90%
3Feb-18Oct-189 monthsJun-198 months1 year 5 months-4.72%
4May-12May-121 monthAug-123 months4 months-3.11%
5Feb-13Mar-132 monthsApr-131 month3 months-1.31%
6Nov-19Nov-191 monthDec-191 month2 months-0.87%
7Sep-17Oct-172 monthsNov-171 month3 months-0.65%
8Sep-19Sep-191 monthOct-191 month2 months-0.49%
9Jul-19Jul-191 monthAug-191 month2 months-0.30%
10Mar-12Mar-121 monthApr-121 month2 months-0.30%
Rolling Returns
YearCitadel World Bond 3-year annualized returnCitadel World Bond 5-year annualized returnCitadel World Bond 7-year annualized returnInvesco International Corporate Bond ETF 3-year annualized returnInvesco International Corporate Bond ETF 5-year annualized returnInvesco International Corporate Bond ETF 7-year annualized return
20143.46%N/AN/A5.46%N/AN/A
2015-1.80%N/AN/A-2.78%N/AN/A
2016-0.75%1.62%N/A-3.84%1.08%N/A
20172.03%1.22%N/A0.97%0.84%N/A
20183.24%0.80%2.06%1.72%-1.15%1.63%
20194.26%2.09%1.49%5.06%0.85%0.79%