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L-3 COMMUNICATIONS MASTER SAVINGS PLAN
L-3 COMMUNICATIONS MASTER SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate
L-3 COMMUNICATIONS MASTER SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate
live (public) 0.47% December 31
Delayed
Holdings (As of 11/30/2018)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| Inflation Protected Bond | VIPSX (VANGUARD INFLATION-PROTECTED SECURITIES FUND INVESTOR SHARES) | 0.08% | VANG INFL PROT SEC | 15.29% |
| General Bond | DODIX (DODGE & COX INCOME FUND DODGE & COX INCOME FUND) | 0.07% | DODGE & COX INCOME | 24.39% |
| US Equity | OTCFX (T. ROWE PRICE SMALL-CAP STOCK FUND INC. T. ROWE PRICE SMALL-CAP STOCK FUND INC.) | 0.49% | TRP SM CAP STOCK | 20.20% |
| US Equity | RGAGX (GROWTH FUND OF AMERICA CLASS R-6) | 0.19% | AF GRTH FUND AMER R6 | 20.51% |
| International Equity | FDIKX (FIDELITY DIVERSIFIED INTERNATIONAL FUND CLASS K) | 0.65% | FID DIVERSIFD INTL K | 9.92% |
| International Equity | FSGDX (FIDELITY GLOBAL EX U.S. INDEX FUND PREMIUM CLASS) | 0.61% | SPTN GLOBAL EX US ADV | 9.69% |
| CASH | CASH (CASH) | 0.0% | CASH | 0.00% |
* Day change on 09/28/2018.
Previous
Beta
Performance (As of 12/31/2018)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| L-3 COMMUNICATIONS MASTER SAVINGS PLAN Strategic Asset Allocation - Optimal Moderate | 1.6% | 2.8% | 7.6% | 5.8% | 7.5% | 6.6% |
| VFINX (Vanguard (S&P 500) Index) | 8.4% | 25.7% | 21.5% | 13.2% | 15.2% | 14.2% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 17.0% | 14.2% | 7.3% | 9.5% | 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 | 20 Yr | Since 01/02/2001 |
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | -0.2 | 2.8 | 7.6 | 5.8 | 7.5 | 6.6 | 0.0 | 6.0 | -6.2 | 10.0 | 6.2 | 0.6 | 5.2 | 16.0 | 12.7 | 0.7 | 12.1 | 27.9 | -28.0 | 8.7 | 9.1 | 7.1 | 11.0 | 21.4 | -2.1 | 8.3 |
| Sharpe Ratio | NA | -0.83 | 0.31 | 0.33 | 0.76 | NA | NA | 0.46 | -0.83 | 2.0 | 0.7 | 0.07 | 0.77 | 2.25 | 1.55 | 0.05 | 1.03 | 1.57 | -1.22 | 0.61 | 0.84 | 0.83 | 1.53 | 2.05 | -0.27 | 0.62 |
| Draw Down(%) | NA | 13.0 | 13.0 | 13.0 | 16.2 | NA | NA | 39.6 | 13.0 | 2.1 | 7.7 | 8.1 | 5.5 | 6.1 | 6.6 | 14.5 | 9.6 | 16.2 | 39.2 | 6.5 | 5.7 | 3.7 | 5.7 | 6.9 | 14.4 | 12.3 |
| Standard Deviation(%) | NA | 9.0 | 7.7 | 7.7 | 10.4 | NA | NA | 11.0 | 9.0 | 4.7 | 8.6 | 8.7 | 6.7 | 7.1 | 8.2 | 14.5 | 11.6 | 17.7 | 23.7 | 9.3 | 6.9 | 5.9 | 6.6 | 10.1 | 11.8 | 9.8 |
| Treynor Ratio | NA | -0.15 | 0.04 | 0.05 | 0.13 | NA | NA | 0.09 | -0.15 | 0.16 | 0.1 | 0.01 | 0.1 | 0.26 | 0.21 | 0.01 | 0.19 | 0.44 | -0.52 | 0.1 | 0.09 | 0.09 | 0.19 | 0.39 | -0.08 | 0.15 |
| Alpha | NA | -0.02 | 0.0 | 0.0 | 0.01 | NA | NA | 0.01 | -0.02 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.02 | 0.0 | 0.01 | 0.04 | -0.03 | 0.02 | 0.0 | 0.02 | 0.02 | 0.02 | 0.03 | 0.04 |
| Beta | NA | 0.5 | 0.55 | 0.54 | 0.59 | NA | NA | 0.55 | 0.5 | 0.57 | 0.63 | 0.53 | 0.53 | 0.6 | 0.61 | 0.59 | 0.62 | 0.63 | 0.55 | 0.55 | 0.65 | 0.54 | 0.52 | 0.53 | 0.43 | 0.4 |
| RSquared | NA | 0.9 | 0.87 | 0.87 | 0.9 | NA | NA | 0.88 | 0.9 | 0.67 | 0.92 | 0.88 | 0.82 | 0.89 | 0.9 | 0.91 | 0.93 | 0.94 | 0.92 | 0.91 | 0.9 | 0.89 | 0.77 | 0.82 | 0.89 | 0.75 |
| Sortino Ratio | NA | -1.06 | 0.41 | 0.45 | 1.07 | NA | NA | 0.64 | -1.06 | 2.86 | 0.95 | 0.09 | 1.06 | 3.26 | 2.35 | 0.06 | 1.49 | 2.31 | -1.57 | 0.83 | 1.29 | 1.21 | 2.21 | 3.13 | -0.38 | 0.88 |
| Yield(%) | N/A | 5.5 | 3.5 | 4.9 | 6.7 | 6.2 | 6.4 | 3.72 | 5.5 | 0.6 | 3.4 | 9.3 | 3.9 | 2.7 | 2.8 | 4.1 | 2.9 | 2.1 | 2.6 | 6.2 | 4.0 | 3.7 | 3.6 | 2.8 | 3.0 | 3.9 |
| Dividend Growth(%) | N/A | 886.4 | -31.1 | 127.9 | N/A | N/A | N/A | N/A | 886.4 | -80.4 | -64.1 | 152.2 | 63.6 | 10.3 | -30.9 | 56.2 | 78.1 | -41.7 | -54.4 | 66.0 | 18.4 | 15.1 | 54.9 | -7.4 | -17.2 | 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 Inflation Protected Bond, International Equity, US Equity, General Bond
in L-3 COMMUNICATIONS MASTER SAVINGS 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.
- Inflation Protected Bond
- International Equity
- US Equity
- General Bond
- 15.0%
- 19.0%
- 41.0%
- 25.0%
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