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401k Investor
CITIGROUP 401(k) PLAN
CITIGROUP 401(k) PLAN Strategic Asset Allocation - Optimal Moderate
CITIGROUP 401(k) PLAN Strategic Asset Allocation - Optimal Moderate
live (public) 0.07% December 31
Delayed
Holdings (As of 11/29/2019)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| Inflation Protected Bond | IPE (SPDR Bloomberg Barclays TIPS ETF) | SSGA BlackRock Capital US TIPS Fund | 15.25% | |
| General Bond | AGG (iShares Core U.S. Aggregate Bond ETF) | 0.03% | BlackRock Capital Aggregate Bond Fund | 20.72% |
| US Equity | SVSPX (SSGA S&P 500 INDEX FUND CLASS N) | 0.51% | SSgA S&P 500 Index | 12.82% |
| US Equity | MDY (SPDR S&P Midcap 400 ETF Trust) | 0.73% | SSgA S&P 400 MiD Cap Fund | 12.85% |
| CASH | CASH (CASH) | 0.0% | CASH | 0.03% |
| Real Estate | DFITX (DFA International Real Estate Sec I) | 0.0% | Dimensional Fund Advisors International Securities Fund | 7.29% |
| Emerging Market Equity | SSEMX (STATE STREET DISCIPLINED EMERGING MARKETS EQUITY FUND CLASS N) | 0.50% | SSgA MSCI Emerging Market Free Fund | 9.48% |
| International Equity | PIEQX (T. ROWE PRICE INTERNATIONAL EQUITY INDEX FUND T. ROWE PRICE INTERNATIONAL EQUITY INDEX FUND) | 0.07% | T. Rowe Price International Eq Index | 7.66% |
| International Equity | EFA (iShares MSCI EAFE ETF) | 0.37% | SSgA MSCI EAFE Fund | 8.37% |
| Long Term Bond | PRPIX (T. ROWE PRICE CORPORATE INCOME FUND INC. T. ROWE PRICE CORPORATE INCOME FUND INC.) | 0.10% | T. Rowe Price Corporate Income | 5.53% |
* Day change on 09/30/2019.
Previous
Beta
Performance (As of 12/31/2019)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| CITIGROUP 401(k) PLAN Strategic Asset Allocation - Optimal Moderate | 11.7% | 2.7% | 3.5% | 4.8% | 6.4% | 6.0% |
| VFINX (Vanguard (S&P 500) Index) | 7.3% | 13.6% | 18.8% | 16.3% | 13.5% | 14.3% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 9.6% | 11.6% | 8.7% | 8.4% | 9.2% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.2 | 2.7 | 3.5 | 4.8 | 6.4 | 6.0 | 6.5 | 0.0 | 6.3 | 14.4 | -9.5 | 10.9 | 5.4 | 0.5 | 9.4 | 12.3 | 13.1 | -2.0 | 12.0 | 26.3 | -25.1 | 7.9 | 15.5 | 10.0 | 14.5 | 24.1 | -7.7 | 0.6 |
| Sharpe Ratio | NA | 2.24 | 0.56 | 0.44 | 0.62 | NA | NA | NA | 0.46 | 2.24 | -1.33 | 2.25 | 0.6 | 0.05 | 0.8 | 1.53 | 1.71 | -0.14 | 0.89 | 1.32 | -1.03 | 0.49 | 1.54 | 1.24 | 1.76 | 2.96 | -0.79 | -0.14 |
| Draw Down(%) | NA | 3.1 | 15.2 | 15.2 | 15.8 | NA | NA | NA | 41.1 | 3.1 | 15.2 | 2.2 | 8.2 | 9.8 | 6.8 | 8.5 | 6.3 | 15.8 | 11.7 | 19.7 | 38.1 | 6.8 | 9.1 | 4.7 | 7.6 | 7.4 | 19.4 | 15.6 |
| Standard Deviation(%) | NA | 5.8 | 6.4 | 7.4 | 9.7 | NA | NA | NA | 11.6 | 5.8 | 8.2 | 4.6 | 8.5 | 9.1 | 11.8 | 8.0 | 7.6 | 15.1 | 13.4 | 19.9 | 25.3 | 10.0 | 7.9 | 6.4 | 7.7 | 7.9 | 11.0 | 11.8 |
| Treynor Ratio | NA | 0.31 | 0.08 | 0.07 | 0.11 | NA | NA | NA | 0.09 | 0.31 | -0.25 | 0.22 | 0.09 | 0.01 | 0.18 | 0.2 | 0.23 | -0.03 | 0.17 | 0.37 | -0.44 | 0.08 | 0.18 | 0.15 | 0.24 | 0.58 | -0.23 | -0.03 |
| Alpha | NA | 0.01 | -0.01 | 0.0 | 0.0 | NA | NA | NA | 0.01 | 0.01 | -0.03 | 0.01 | 0.0 | 0.0 | 0.02 | -0.02 | 0.02 | -0.01 | 0.01 | 0.03 | -0.01 | 0.02 | 0.02 | 0.03 | 0.03 | 0.05 | 0.0 | 0.02 |
| Beta | NA | 0.42 | 0.44 | 0.47 | 0.56 | NA | NA | NA | 0.56 | 0.42 | 0.44 | 0.46 | 0.59 | 0.47 | 0.51 | 0.63 | 0.56 | 0.62 | 0.7 | 0.7 | 0.59 | 0.58 | 0.68 | 0.51 | 0.57 | 0.4 | 0.38 | 0.53 |
| RSquared | NA | 0.82 | 0.76 | 0.73 | 0.72 | NA | NA | NA | 0.8 | 0.82 | 0.83 | 0.45 | 0.83 | 0.63 | 0.23 | 0.76 | 0.87 | 0.91 | 0.9 | 0.92 | 0.92 | 0.87 | 0.76 | 0.69 | 0.68 | 0.76 | 0.8 | 0.92 |
| Sortino Ratio | NA | 3.36 | 0.76 | 0.6 | 0.89 | NA | NA | NA | 0.65 | 3.36 | -1.66 | 3.45 | 0.82 | 0.07 | 1.6 | 2.16 | 2.64 | -0.18 | 1.27 | 1.94 | -1.39 | 0.66 | 2.31 | 1.84 | 2.48 | 4.54 | -1.1 | -0.19 |
| Yield(%) | N/A | 2.4 | 2.7 | 3.9 | 5.2 | 6.2 | 6.2 | 6.5 | 3.42 | 2.4 | 4.9 | 0.3 | 3.3 | 7.6 | 6.2 | 3.3 | 4.0 | 2.7 | 2.1 | 3.7 | 4.0 | 5.4 | 4.2 | 3.9 | 2.2 | 1.8 | 1.2 | 1.8 |
| Dividend Growth(%) | N/A | -56.8 | -47.3 | 34.0 | N/A | N/A | N/A | N/A | N/A | -57.2 | 1555.5 | -89.4 | -56.4 | 36.1 | 103.2 | -4.6 | 42.2 | 44.5 | -28.4 | -28.9 | -20.6 | 46.3 | 19.4 | 107.5 | 50.6 | 37.3 | -31.8 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Optimal
strategy. Asset weights of available asset classes
in CITIGROUP 401(k) PLAN are derived based on long term asset trends and their correlations.
For each major asset class, one or two funds are selected:
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the fixed income asset should be at least 40%.
2. Asset weights:
3. Fund selection: one or two top performing funds among 30 available funds in the plan are chosen for each asset.
They are usually equally weighted within the asset by default. Volatile funds or ETFs with small trading volume are ignored.
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.
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