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Washington State Deferred Compensation Program
Washington State Deferred Compensation Program Strategic Asset Allocation - Equal Weight Moderate
Washington State Deferred Compensation Program Strategic Asset Allocation - Equal Weight Moderate
live (public) 0.80% May 03
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
---|---|---|---|---|
CASH | CASH (CASH) | 0.0% | Savings Pool | 0.00% |
General Bond | VFICX (VANGUARD INTERMEDIATE-TERM INVESTMENT-GRADE FUND INVESTOR SHARES) | 0.0% | Washington State Bond Fund | 35.89% |
US Equity | FDGRX (FIDELITY GROWTH COMPANY FUND FIDELITY GROWTH COMPANY FUND) | 0.11% | Fidelity Growth Company Fund | 14.56% |
US Equity | MALRX (BlackRock Lg Cap Core I) | 0.13% | Active U.S. Core Stock Fund | 15.67% |
International Equity | EFA (iShares MSCI EAFE ETF) | 0.22% | International Stock Fund | 33.88% |
* Day change on 03/28/2024.
Beta
Performance (As of 05/03/2024)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
Washington State Deferred Compensation Program Strategic Asset Allocation - Equal Weight Moderate | 4.7% | 13.8% | 3.0% | 8.0% | 5.7% | 7.9% |
VFINX (Vanguard (S&P 500) Index) | 7.9% | 27.1% | 8.5% | 13.5% | 12.5% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.5% | 15.3% | 2.8% | 7.7% | 7.7% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.9 | 4.7 | 13.8 | 3.0 | 8.0 | 5.7 | 7.9 | 6.1 | 6.0 | 14.1 | -10.0 | 6.9 | 19.2 | 18.8 | -7.4 | 8.0 | 4.4 | 1.0 | 2.2 | 14.9 | 13.1 | 1.7 | 12.0 | 20.7 | -24.5 | 7.5 | 11.8 | 5.9 | 9.1 | 21.5 | -5.8 | 4.4 |
Sharpe Ratio | NA | 0.39 | 1.1 | 0.07 | 0.5 | 0.43 | NA | NA | 0.47 | 1.05 | -0.8 | 0.72 | 0.99 | 2.61 | -0.96 | 1.17 | 0.46 | 0.1 | 0.31 | 2.14 | 1.89 | 0.13 | 1.14 | 1.36 | -1.26 | 0.54 | 1.23 | 0.61 | 1.1 | 2.54 | -0.67 | 0.24 |
Draw Down(%) | NA | 4.5 | 9.1 | 18.1 | 22.8 | 22.8 | NA | NA | 36.8 | 9.1 | 16.9 | 4.9 | 22.8 | 3.6 | 13.5 | 4.7 | 8.1 | 8.2 | 6.2 | 5.8 | 5.7 | 10.5 | 8.6 | 15.5 | 32.7 | 5.1 | 6.9 | 4.1 | 6.7 | 5.7 | 14.0 | 9.1 |
Standard Deviation(%) | NA | 8.9 | 9.1 | 11.0 | 12.7 | 10.7 | NA | NA | 10.6 | 9.3 | 14.3 | 9.6 | 19.2 | 6.7 | 9.0 | 6.3 | 9.2 | 9.2 | 7.0 | 7.0 | 6.9 | 12.4 | 10.4 | 15.2 | 20.2 | 8.4 | 6.9 | 6.1 | 7.4 | 8.2 | 10.4 | 8.9 |
Treynor Ratio | NA | 0.05 | 0.14 | 0.01 | 0.11 | 0.08 | NA | NA | 0.1 | 0.16 | -0.2 | 0.11 | 0.36 | 0.35 | -0.17 | 0.12 | 0.06 | 0.02 | 0.04 | 0.25 | 0.25 | 0.03 | 0.21 | 0.38 | -0.53 | 0.09 | 0.13 | 0.07 | 0.14 | 0.49 | -0.18 | 0.06 |
Alpha | NA | -0.01 | -0.02 | -0.01 | 0.0 | 0.0 | NA | NA | 0.01 | -0.01 | 0.0 | -0.04 | 0.03 | 0.01 | -0.02 | -0.01 | -0.01 | 0.0 | -0.02 | -0.01 | 0.02 | 0.0 | 0.02 | 0.03 | -0.03 | 0.01 | 0.01 | 0.01 | 0.01 | 0.03 | 0.01 | 0.03 |
Beta | NA | 0.68 | 0.7 | 0.59 | 0.56 | 0.56 | NA | NA | 0.51 | 0.63 | 0.57 | 0.65 | 0.53 | 0.5 | 0.51 | 0.59 | 0.65 | 0.56 | 0.58 | 0.59 | 0.52 | 0.52 | 0.56 | 0.54 | 0.48 | 0.49 | 0.65 | 0.54 | 0.59 | 0.43 | 0.38 | 0.37 |
RSquared | NA | 0.82 | 0.81 | 0.86 | 0.89 | 0.87 | NA | NA | 0.87 | 0.78 | 0.93 | 0.78 | 0.93 | 0.89 | 0.91 | 0.41 | 0.86 | 0.87 | 0.88 | 0.88 | 0.92 | 0.94 | 0.93 | 0.95 | 0.94 | 0.87 | 0.87 | 0.83 | 0.78 | 0.8 | 0.88 | 0.8 |
Sortino Ratio | NA | 0.58 | 1.63 | 0.1 | 0.68 | 0.58 | NA | NA | 0.64 | 1.53 | -1.11 | 0.99 | 1.28 | 3.84 | -1.22 | 1.38 | 0.61 | 0.14 | 0.42 | 3.09 | 2.93 | 0.18 | 1.65 | 1.97 | -1.66 | 0.73 | 1.87 | 0.88 | 1.54 | 3.97 | -0.94 | 0.34 |
Yield(%) | N/A | 0.52 | 3.36 | 2.44 | 3.0 | 2.73 | N/A | N/A | 3.04 | 3.6 | 1.5 | 2.12 | 4.72 | 2.8 | 1.58 | 0.33 | 3.84 | 3.59 | 3.06 | 2.39 | 3.92 | 3.97 | 3.88 | 2.63 | 2.96 | 3.5 | 3.14 | 2.96 | 2.98 | 3.26 | 3.02 | 3.58 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Equal Weight
. The allocations are diversified by investing in the 3 major asset classes: Foreign Equity, US Equity, Fixed Income
that are covered in Washington State Deferred Compensation Program. It then selects one or two funds for each of the 3 major asset classes.
1.Risk allocation: the risk profile of this portfolio 40.
The total allocation of the fixed income assets should be at least 40%.
2.Asset weights: risk assets selected are equally weighted by
default.
3.Fund selection: about one or two top performing funds among 9 available funds in the plan are chosen for each asset selected. They are usually equally weighted within
the asset by default.
4.Rebalance frequency: the portfolio is reviewed by the strategy program monthly
and the above steps are repeated. Asset weights are rebalanced back to target allocation if it is necessary.
5.
Simulation: Performance data before this portfolio went public are obtained from historical simulation. They are hypothetical.