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AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN Tactical Asset Allocation Moderate
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN Tactical Asset Allocation Moderate
live (public) 0.20% December 30
Delayed
Holdings (As of 10/31/2016)
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Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
---|---|---|---|---|
CASH | CASH (CASH) | 0.0% | FIDELITY US TREASURY MONEY MARKET | 0.09% |
Real Estate | FRESX (FIDELITY REAL ESTATE INVESTMENT PORTFOLIO FIDELITY REAL ESTATE INVESTMENT PORTFOLIO) | 1.87% | FIDELITY REAL ESTATE INVESTMENT | 13.12% |
Real Estate | SSREX (SSGA CLARION REAL ESTATE FUND CLASS N) | 0.0% | SSGA TUCKERMAN ACTIVE REIT | 13.33% |
Long-Term Bond | VWESX (VANGUARD LONG-TERM INVESTMENT-GRADE FUND INVESTOR SHARES) | 0.47% | VANGUARD LONG TERM INVMT GRADE INV | 0.19% |
General Bond | OIBNX (Oppenheimer International Bond R) | 0.0% | OPPENHEIMER INTERNAT’L BD CL N | 18.39% |
General Bond | LSBRX (LOOMIS SAYLES BOND FUND RETAIL CLASS) | 0.0% | LOOMIS SAYLES BOND RETAIL SHARES | 19.68% |
Emerging Market Equity | EMGYX (WELLS FARGO EMERGING MARKETS EQUITY FUND ADMINISTRATOR CLASS) | 0.14% | EVERGREEN EMERG MKTS GROWTH FUND CLASS C | 17.62% |
Emerging Market Equity | PRMSX (T. ROWE PRICE EMERGING MARKETS STOCK FUND T. ROWE PRICE EMERGING MARKETS STOCK FUND) | 0.35% | T ROWE PRICE EMERGING MKTS STOCK | 17.58% |
* Day change on 10/31/2016.
Beta
Performance (As of 12/30/2016)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN Tactical Asset Allocation Moderate | 3.7% | 3.8% | 1.0% | 2.4% | 6.6% | 10.1% |
VFINX (Vanguard (S&P 500) Index) | 11.7% | 29.3% | 9.9% | 15.0% | 12.9% | 14.8% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.0% | 17.4% | 3.9% | 8.6% | 8.0% | 9.8% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | Since 01/02/2001 |
2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -0.1 | 3.8 | 1.0 | 2.4 | 6.6 | 10.1 | 9.6 | 3.9 | -4.7 | 3.5 | 10.9 | -0.8 | 3.9 | 22.9 | 30.7 | -11.7 | 14.0 | 16.3 | 15.0 | 14.9 | 32.4 | 8.8 | 2.6 |
Sharpe Ratio | NA | 0.55 | 0.13 | 0.31 | 0.61 | NA | 0.93 | 0.56 | -0.67 | 0.54 | 1.25 | -0.09 | 0.32 | 1.63 | 2.48 | -1.1 | 1.13 | 1.2 | 1.71 | 1.62 | 5.36 | 1.31 | 0.05 |
Draw Down(%) | NA | 6.9 | 10.4 | 11.7 | 23.8 | NA | 23.8 | 6.9 | 9.6 | 6.7 | 8.5 | 11.7 | 10.9 | 10.1 | 6.1 | 23.8 | 6.1 | 16.2 | 5.8 | 12.4 | 3.8 | 6.0 | 4.3 |
Standard Deviation(%) | NA | 6.5 | 6.7 | 7.7 | 10.1 | NA | 9.3 | 6.6 | 7.0 | 6.6 | 8.7 | 9.4 | 12.1 | 14.0 | 12.3 | 11.5 | 9.7 | 10.8 | 7.5 | 8.6 | 5.9 | 5.9 | 5.4 |
Treynor Ratio | NA | 43.68 | 0.4 | 0.13 | 0.4 | NA | 0.64 | 63.51 | -1.31 | 1.54 | 0.16 | -0.03 | 0.18 | 0.38 | 3.24 | -6.57 | 0.28 | 0.21 | 0.36 | 0.38 | -14.49 | 5.76 | 0.09 |
Alpha | NA | 0.01 | 0.0 | 0.0 | 0.02 | NA | 0.03 | 0.02 | -0.02 | 0.01 | -0.03 | -0.02 | 0.02 | 0.05 | 0.1 | -0.05 | 0.04 | 0.02 | 0.05 | 0.04 | 0.11 | 0.03 | 0.0 |
Beta | NA | 0.0 | 0.02 | 0.18 | 0.15 | NA | 0.14 | 0.0 | 0.04 | 0.02 | 0.69 | 0.3 | 0.22 | 0.61 | 0.09 | 0.02 | 0.39 | 0.62 | 0.36 | 0.36 | -0.02 | 0.01 | 0.03 |
RSquared | NA | 0.0 | 0.0 | 0.09 | 0.1 | NA | 0.08 | 0.0 | 0.01 | 0.0 | 0.77 | 0.17 | 0.18 | 0.61 | 0.04 | 0.0 | 0.42 | 0.33 | 0.24 | 0.22 | 0.0 | 0.0 | 0.02 |
Sortino Ratio | NA | 0.77 | 0.17 | 0.41 | 0.85 | NA | 1.3 | 0.78 | -0.86 | 0.72 | 1.72 | -0.12 | 0.43 | 2.37 | 4.0 | -1.42 | 1.56 | 1.64 | 2.46 | 2.25 | 8.55 | 1.93 | 0.07 |
Yield(%) | N/A | 3.34 | 4.06 | 3.47 | 4.51 | N/A | 4.89 | 3.35 | 3.16 | 5.69 | 1.39 | 3.82 | 5.89 | 9.22 | 4.42 | 2.86 | 5.57 | 6.22 | 3.08 | 5.81 | 4.44 | 5.31 | 7.95 |
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 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Tactical Asset Allocation
. The following is the description on how in general the strategy works for this portfolio. It is for information purpose only. The actual implementation might be
different from the description in some situations where optimization has been implemented.
The strategy first derives trend scores of the 6 major asset classes: Fixed Income, US Equity, REITs, Foreign Equity, Emerging Market Equity, Commodity that are covered in AMERICAN ELECTRIC POWER SYSTEM RETIREMENT SAVINGS PLAN. It then selects the top 2 risk assets and 1 fixed income asset.
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the 1 fixed income asset should be at least 40%.
2. Asset weights: risk assets selected are equally weighted by
default.
3. Fund selection: about 2 top performing funds among 526 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. During a market downturn, the asset
exposure to risk assets might be reduced and is switched to fixed income instead to avoid big loss.
5.
Simulation: Performance data before this portfolio went public are obtained from historical simulation. They are hypothetical.