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EMPLOYEE SAVINGS PLAN OF REPSOL USA
EMPLOYEE SAVINGS PLAN OF REPSOL USA Strategic Asset Allocation - Optimal Moderate
EMPLOYEE SAVINGS PLAN OF REPSOL USA Strategic Asset Allocation - Optimal Moderate
live (public) 0.28% December 31
Delayed
Holdings (As of 11/30/2018)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | FSITX (FIDELITY U.S. BOND INDEX FUND PREMIUM CLASS) | 0.0% | SPTN US BOND IDX ADV | 40.34% |
| US Equity | TGCNX (TCW SELECT EQUITIES FUND N CLASS) | 0.0% | TCW SELECT EQUITY N | 15.76% |
| US Equity | FSEVX (FIDELITY EXTENDED MARKET INDEX FUND PREMIUM CLASS) | 0.23% | Spartan Extended Market Index Fund - Fidelity Advantage Class | 14.76% |
| CASH | CASH (CASH) | 0.0% | FID RETIRE MMKT | 0.63% |
| Emerging Market Equity | GTDDX (INVESCO DEVELOPING MARKETS FUND CLASS A) | 0.37% | Invesco Developing Markets CL A | 10.18% |
| International Equity | FSIVX (FIDELITY INTERNATIONAL INDEX FUND PREMIUM CLASS) | 0.72% | SPTN INTL INDEX ADV | 9.00% |
| International Equity | FDIVX (FIDELITY DIVERSIFIED INTERNATIONAL FUND FIDELITY DIVERSIFIED INTERNATIONAL FUND) | 0.65% | Fidelity Diversified International Fund | 9.33% |
* 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** |
|---|---|---|---|---|---|---|
| EMPLOYEE SAVINGS PLAN OF REPSOL USA Strategic Asset Allocation - Optimal Moderate | 1.0% | -0.7% | 6.6% | 4.1% | 7.5% | 6.6% |
| VFINX (Vanguard (S&P 500) Index) | 9.3% | 19.7% | 18.8% | 16.4% | 13.8% | 14.4% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.6% | 13.0% | 11.5% | 8.7% | 8.6% | 9.3% |
* 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 |
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.0 | -0.7 | 6.6 | 4.1 | 7.5 | 6.6 | 7.6 | 0.0 | 6.4 | -4.6 | 7.5 | 5.9 | -1.2 | 3.6 | 12.9 | 14.9 | -1.9 | 16.7 | 33.4 | -26.0 | 10.3 | 16.4 | 10.2 | 13.0 | 23.5 | -3.6 | -2.2 |
| Sharpe Ratio | NA | -0.75 | 0.29 | 0.24 | 0.82 | NA | NA | NA | 0.53 | -0.75 | 1.34 | 0.68 | -0.14 | 0.6 | 1.91 | 1.89 | -0.14 | 1.48 | 2.09 | -1.28 | 0.77 | 1.65 | 1.37 | 1.74 | 2.76 | -0.44 | -0.55 |
| Draw Down(%) | NA | 9.8 | 10.2 | 11.5 | 14.8 | NA | NA | NA | 36.4 | 9.8 | 4.2 | 7.3 | 8.9 | 5.4 | 6.9 | 7.3 | 13.6 | 8.5 | 14.8 | 35.3 | 6.8 | 9.0 | 4.4 | 6.9 | 8.2 | 16.9 | 15.0 |
| Standard Deviation(%) | NA | 7.9 | 7.3 | 7.3 | 9.8 | NA | NA | NA | 10.2 | 7.9 | 5.2 | 8.4 | 8.3 | 5.9 | 6.7 | 7.8 | 14.3 | 11.2 | 16.0 | 21.0 | 9.4 | 7.9 | 5.8 | 7.0 | 8.2 | 10.5 | 8.3 |
| Treynor Ratio | NA | -0.14 | 0.04 | 0.04 | 0.15 | NA | NA | NA | 0.11 | -0.14 | 0.16 | 0.1 | -0.02 | 0.07 | 0.24 | 0.26 | -0.03 | 0.28 | 0.59 | -0.55 | 0.13 | 0.2 | 0.17 | 0.24 | 0.54 | -0.13 | -0.15 |
| Alpha | NA | -0.01 | 0.0 | 0.0 | 0.01 | NA | NA | NA | 0.01 | -0.01 | 0.0 | 0.0 | 0.0 | -0.01 | -0.01 | 0.03 | -0.01 | 0.03 | 0.06 | -0.03 | 0.02 | 0.02 | 0.03 | 0.03 | 0.04 | 0.02 | 0.0 |
| Beta | NA | 0.42 | 0.48 | 0.49 | 0.55 | NA | NA | NA | 0.49 | 0.42 | 0.42 | 0.6 | 0.5 | 0.47 | 0.54 | 0.58 | 0.59 | 0.59 | 0.56 | 0.49 | 0.55 | 0.67 | 0.47 | 0.5 | 0.42 | 0.36 | 0.31 |
| RSquared | NA | 0.82 | 0.73 | 0.78 | 0.87 | NA | NA | NA | 0.83 | 0.82 | 0.3 | 0.87 | 0.88 | 0.83 | 0.79 | 0.89 | 0.93 | 0.91 | 0.92 | 0.92 | 0.87 | 0.72 | 0.68 | 0.63 | 0.75 | 0.81 | 0.64 |
| Sortino Ratio | NA | -0.95 | 0.37 | 0.31 | 1.15 | NA | NA | NA | 0.73 | -0.95 | 1.68 | 0.92 | -0.2 | 0.84 | 2.74 | 2.97 | -0.18 | 2.18 | 3.11 | -1.65 | 1.05 | 2.52 | 2.1 | 2.43 | 4.28 | -0.63 | -0.71 |
| Yield(%) | N/A | 4.6 | 2.7 | 2.9 | 5.3 | 6.5 | 6.5 | 6.1 | 3.63 | 4.6 | 0.4 | 2.3 | 3.0 | 3.4 | 2.7 | 4.3 | 2.7 | 4.0 | 3.1 | 2.9 | 7.6 | 8.4 | 5.1 | 3.2 | 2.5 | 2.0 | 3.2 |
| Dividend Growth(%) | N/A | 1174.6 | -8.0 | 20.6 | N/A | N/A | N/A | N/A | N/A | 1174.6 | -81.6 | -26.2 | -7.6 | 40.3 | -28.0 | 57.2 | -21.7 | 73.8 | -20.0 | -58.2 | 4.0 | 82.4 | 80.9 | 54.4 | 21.0 | -38.0 | 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 Emerging Market Equity, International Equity, US Equity, General Bond
in EMPLOYEE SAVINGS PLAN OF REPSOL USA 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 34 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.
- Emerging Market Equity
- International Equity
- US Equity
- General Bond
- 11.0%
- 19.0%
- 30.0%
- 40.0%
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